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Intraday price reversals for index futures in the US and Hong Kong
16 references·14 citing·49 second hop
Intraday price reversals for index futures in the US and Hong Kong (2000)Intraday price reversals for index future…Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange (1997)Predictable Patterns after La…The Short-Run Dynamics of the Price Adjustment to New Information (1995)The Short-Run Dynamics of the…THE OVERREACTION HYPOTHESIS AND THE UK STOCKMARKET (1995)THE OVERREACTION HYPOTHESIS A…Can We Implement Research on Stock Trading Rules? (1995)Can We Implement Research on …Overreaction in the Brazilian stock market (1994)Overreaction in the Brazilian…Long-Term Market Overreaction or Biases in Computed Returns? (1993)Long-Term Market Overreaction…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Intraday patterns in the S&P 500 index futures market (1992)Intraday patterns in the S&P …Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market (1991)Volatility, Efficiency, and T…Stock Market Structure and Volatility (1990)Stock Market Structure and Vo…Price Reversals, Bid-Ask Spreads, and Market Efficiency (1990)Price Reversals, Bid-Ask Spre…Price reversals (1990)Price reversalsShort-run market overreaction (1989)Short-run market overreactionOn the Contrarian Investment Strategy (1988)On the Contrarian Investment …Trading Mechanisms and Stock Returns: An Empirical Investigation (1987)Trading Mechanisms and Stock …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both (2022)Intraday return predictabilit…The prevalence of price overreactions in the cryptocurrency market (2020)The prevalence of price overr…The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis (2017)The intraday directional pred…Market overreaction and underreaction: tests of the directional and magnitude effects (2013)Market overreaction and under…Do the prices of stock index futures in Asia overreact to U.S. market returns? (2010)Do the prices of stock index …Systematic Share Price Fluctuations after Bankruptcy Filings and the Investors Who Drive Them (2007)Systematic Share Price Fluctu…Contrarian strategy and overreaction in foreign exchange markets (2007)Contrarian strategy and overr…Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market (2006)Stock returns following large…Short-term market reaction after extreme price changes of liquid stocks (2006)Short-term market reaction af…Investor overreaction to going concern audit opinion announcements (2006)Investor overreaction to goin…Overreaction of index futures in Hong Kong (2004)Overreaction of index futures…Intraday price reversals in the US stock index futures market: A 15-year study (2004)Intraday price reversals in t…Information content of extended trading for index futures (2004)Information content of extend…Investor Confidence and Returns Following Large One-Day Price Changes (2003)Investor Confidence and Retur…The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)The Effects of Splitting on the Ex: A Microstructure Reconciliation (1992)Information, trading, and volatility (1994)Gone fishin’: Seasonality in trading activity and asset prices (2009)Asset pricing and the bid-ask spread (1986)The theory and practice of econometrics (1986)The Informational Content of Implied Volatility (1993)Liquidity and Asset Prices (2006)Do ETFs Increase Volatility? (2014)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The relationship between return and market value of common stocks (1981)Risk aversion, uncertain information, and market efficiency (1988)Nonstationary expected returns (1989)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Continuous Auctions and Insider Trading (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Periodic market closure and trading volume (1992)Market microstructure: A survey of microfoundations, empirical results, and policy implications (2005)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration (1996)Is There Private Information in the FX Market? The Tokyo Experiment (1998)The Cross-Section of Expected Trading Activity (2006)The intraday speed of adjustment of stock prices to earnings and dividend announcements (1984)The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Jumps, cojumps and macro announcements (2010)Measuring security price performance (1980)Using daily stock returns (1985)Transactions Costs and Holding Periods for Common Stocks (1997)On the information role of stock recommendation revisions (2009)Stock Returns after Major Price Shocks: The Impact of Information (2011)Efficient Capital Markets: II (1991)Chapter 13 Financial decision-making in markets and firms: A behavioral perspective (1995)EVENT STUDY METHODS AND EVIDENCE ON THEIR PERFORMANCE (1995)Underpricing and long-term performance of IPOs in China (2003)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1987Trading Mechanisms and Stock Returns: An Empirical Investigation769 cited
  • 1990Stock Market Structure and Volatility544 cited
  • 1988On the Contrarian Investment Strategy540 cited
  • 1993Long-Term Market Overreaction or Biases in Computed Returns?488 cited
  • 1991Volatility, Efficiency, and Trading: Evidence from the Japanese Stock Market306 cited
  • 1995The Short-Run Dynamics of the Price Adjustment to New Information297 cited
  • 1990Price Reversals, Bid-Ask Spreads, and Market Efficiency274 cited
  • 1990Price reversals200 cited
  • 1995THE OVERREACTION HYPOTHESIS AND THE UK STOCKMARKET137 cited
  • 1994Overreaction in the Brazilian stock market119 cited
  • 1997Predictable Patterns after Large Stock Price Changes on the Tokyo Stock Exchange74 cited
  • 1989Short-run market overreaction67 cited
  • 1995Can We Implement Research on Stock Trading Rules?66 cited
  • 1992Intraday patterns in the S&P 500 index futures market

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Cited by

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  • 2013Market overreaction and underreaction: tests of the directional and magnitude effects35 cited
  • 2010Do the prices of stock index futures in Asia overreact to U.S. market returns?34 cited
  • 2022Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both33 cited
  • 2006Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market33 cited
  • 2004Overreaction of index futures in Hong Kong27 cited
  • 2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis27 cited
  • 2007Contrarian strategy and overreaction in foreign exchange markets26 cited
  • 2006Investor overreaction to going concern audit opinion announcements25 cited
  • 2004Information content of extended trading for index futures24 cited