Title

Intraday Price Reversals in the US Stock Index Futures Marketa 15-Year Study

Document Type

Article

Publication Date

5-1-2005

Abstract

This paper gives a long-term assessment of intraday price reversals in the US stock index futures market following large price changes at the market open. We find highly significant intraday price reversals over a 15-year period (November 1987-September 2002) as well as significant intraday reversals in our yearly and day-of-the-week investigations. Moreover, the strength of the intraday overreaction phenomenon seems more pronounced following large positive price changes at the market open. That being said, the question of whether a trader can consistently profit from this information remains open as the significance of intraday price reversals is sharply reduced when gross trading results are adjusted by a bid-ask proxy for transactions costs.

DOI

10.1016/j.jbankfin.2004.04.006

This document is currently not available here.

Share

COinS