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Intraday Returns (intraday + return)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

On portfolio optimization: How and when do we benefit from high-frequency data?

JOURNAL OF APPLIED ECONOMETRICS, Issue 4 2009
Qianqiu Liu
We examine how the use of high-frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise when based upon intraday returns rather than daily returns. Using the framework of a professional investment manager who wishes to track the S&P 500 with the 30 Dow Jones Industrial Average stocks, we find that the benefits of using high-frequency data depend upon the rebalancing frequency and estimation horizon. If the portfolio is rebalanced monthly and the manager has access to at least the previous 12 months of data, daily data have the potential to perform as well as high-frequency data. However, substantial improvements in the portfolio optimization decision from high-frequency data are realized if the manager rebalances daily or has less than a 6-month estimation window. These findings are robust to transaction costs. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Dynamics of intraday serial correlation in the Italian futures market

THE JOURNAL OF FUTURES MARKETS, Issue 1 2006
Simone Bianco
The serial correlation of high-frequency intraday returns on the Italian stock index futures (FIB30) in the period 2000,2002 is studied. It is found that intraday autocorrelation is mostly negative for time scales lower than 20 minutes, mainly due to the bid,ask bounce effect. Although this supports the efficiency of the Italian futures market, evidence that intraday serial correlation becomes positive in high-volatility regimes is also provided. Moreover, it is found that it is mainly unexpected volatility that makes serial correlation rise, and not its predictable part. The results are supportive of the K. Chan (1993) model. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:61,84, 2006 [source]

Intradaily periodicity and volatility spillovers between international stock index futures markets

THE JOURNAL OF FUTURES MARKETS, Issue 6 2005
Chunchi Wu
This paper examines short-run information transmission between the U.S. and U.K. markets using the S&P 500 and FTSE 100 index futures. Ultrahighfrequency futures data are employed,which have a number of advantages over the low-frequency spot data commonly used in previous studies,in establishing that volatility spillovers are in fact bidirectional. The generalized autoregressive conditionally heteroskedastic model (GARCH) is employed to estimate the mean and volatility spillovers of intraday returns. A Fourier flexible function is utilized to filter the intradaily periodic patterns that induce serial correlation in return volatility. It was found that estimates of volatility persistence and speed of information transmission are seriously affected by intradaily periodicity. The bias in parameter estimation is removed by filtering out the intradaily periodic component of the transaction data. Contrary to previous findings, there is evidence of spillovers in volatility between the U.S. and U.K. markets. Results indicate that the volatility of the U.S. market is affected by the most recent volatility surprise in the U.K. market. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:553,585, 2005 [source]

Testing the mixture-of-distributions hypothesis using "realized" volatility

THE JOURNAL OF FUTURES MARKETS, Issue 7 2003
James C. Luu
The mixture-of-distributions hypothesis (MDH) posits that price volatility and trading volume are both subordinated to the same information arrival rate or "news" process. Existing studies that test MDH have the problem that both the information arrival rate and volatility are unobservable. Recent work (e.g., Andersen et al., 2001) suggests that intraday returns can be used to construct estimates of daily return volatility that are more precise than those constructed using daily returns. In a way, realized volatility becomes observable. Conducting a number of tests of MDH we find that every conclusion based on the daily squared return is reversed when using realized volatility based on intraday returns. Hence, the mixed evidence on MDH in the existing literature can in part be attributed to the use of poor realized volatility measures. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:661,679, 2003 [source]