Intraday price reversals for index futures in the US and Hong Kong

Alexander K W FUNG*, Debby M.Y. Mok, Kin Lam

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

38 Citations (Scopus)

Abstract

We observe intraday price reversals following large price changes at the opening of the S&P 500 Futures market and the HSI Futures market. We note that the magnitude of subsequent price reversals is positively related to the initial price changes, and that the price reversals are not caused by a bid-ask spread, or by panic among investors. We also note that such price reversals can be exploited to give rise to profitable opportunities after transaction costs, even though these may not be very significant. This study shows that investor overreaction may be a universal phenomenon and irrational investor behavior like overreaction may also exist among groups of sophisticated investors.

Original languageEnglish
Pages (from-to)1179-1201
Number of pages23
JournalJournal of Banking and Finance
Volume24
Issue number7
DOIs
Publication statusPublished - Jul 2000

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • G14
  • G15
  • Index futures
  • Market efficiency
  • Overreaction

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