Intraday price reversals in the US stock index futures market: A 15-year study

James L. Grant, Avner Wolf, Susana Yu

Research output: Contribution to journalArticle

26 Scopus citations

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.

Original languageEnglish
Pages (from-to)1311-1327
Number of pages17
JournalJournal of Banking and Finance
Volume29
Issue number5
DOIs
StatePublished - 1 May 2005

Keywords

  • Index futures
  • Market efficiency
  • Overreaction

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