Autocorrelation of daily index returns: intraday-to-intraday versus close-to-close intervals

Abstract

First-order autocorrelation coefficients of (1) daily equally-weighted open-to-open returns, (2) daily equally-weighted intraday-to-intraday returns (terminating at each of 23 successive 15-minute intervals of the trading day beginning at 10:15 a.m.), and (3) daily equally-weighted and value-weighted close-to-close returns (interval 24) are examined. A number of findings concerning the behavior of these autocorrelations are reported. First-order autocorrelation is shown to follow a crude U-shaped pattern when plotted against the time of the trading day. But there is no significant difference in the behavior of autocorrelations based on open-to-open returns and 24-hour returns terminating at 10:15 a.m. Evidence that intraday patterns in autocorrelation cannot be explained fully by trading delays also is presented. © 1991.

Publication Title

Journal of Banking and Finance

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