Indexing and stock market serial dependence around the world

• 成果类型: Article
• 署名作者: Baltussen, Guido; van Bekkum, Sjoerd; Da, Zhi
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.07.016
• 发表日期: 2019
• 页码: 26-48
• 关键词: Return autocorrelation; Stock market indexing; Exchange-traded funds (ETFs); arbitrage

摘要

We show a striking change in index return serial dependence across 20 major market indexes covering 15 countries in North America, Europe, and Asia. While many studies find serial dependence to be positive until the 1990s, it switches to negative since the 2000s. This change happens in most stock markets around the world and is both statistically significant and economically meaningful. Further tests reveal that the decline in serial dependence links to the increasing popularity of index products (e.g., futures, exchange traded funds, and index mutual funds). The link between serial dependence and indexing is not driven by a time trend, holds up in the cross section of stock indexes, is confirmed by tests exploiting Nikkei 225 index weights and Standard & Poor's 500 membership, and in part reflects the arbitrage mechanism between index products and the underlying stocks. (C) 2018 Elsevier B.V. All rights reserved.