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

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

Alexander Kwok-Wah Fung2000

Article2000

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

Alexander Kwok-Wah Fung · Debby M.Y. Mok · Kin Lam

64 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1985Does the Stock Market Overreact?1993How Markets Process Information: News Releases and Volatility 1987Trading Mechanisms and Stock Returns: An Empirical Investigation 1990Stock Market Structure and Volatility 1988On the Contrarian Investment Strategy 1993Long-Term Market Overreaction or Biases in Computed Returns?1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market 1995The Short-Run Dynamics of the Price Adjustment to New Information

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2004Intraday price reversals in the US stock index futures market: A 15-year study 2006Short-term market reaction after extreme price changes of liquid stocks 2020The prevalence of price overreactions in the cryptocurrency market 2003Investor Confidence and Returns Following Large One-Day Price Changes 2007Systematic Share Price Fluctuations after Bankruptcy Filings and the Investors Who Drive Them 2013Market overreaction and underreaction: tests of the directional and magnitude effects

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Year2000

Typearticle

Published2000-07-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations64

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0378-4266(99)00072-2

openalex_workW2010300367

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2010Do the prices of stock index futures in Asia overreact to U.S. market returns?

2022Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both