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 journalArticleResearchpeer-review

22 Citations (Scopus)

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

Fingerprint

Price reversal
Stock index
Futures markets
Price changes
Overreaction
Transaction costs
Traders
Reversal
Profit
Bid

Keywords

  • Index futures
  • Market efficiency
  • Overreaction

Cite this

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Intraday price reversals in the US stock index futures market : A 15-year study. / Grant, James L.; Wolf, Avner; Yu, Susana.

In: Journal of Banking and Finance, Vol. 29, No. 5, 01.05.2005, p. 1311-1327.

Research output: Contribution to journalArticleResearchpeer-review

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