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Intraday price reversals in the US stock index futures market: A 15-year study
James L. Grant
, Avner Wolf
,
Susana Yu
Accounting and Finance
Research output
:
Contribution to journal
›
Article
›
peer-review
39
Scopus citations
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Keyphrases
Price Reversal
100%
Intraday Prices
100%
Stock Index Futures Market
100%
U.S. Stocks
100%
Large Price Changes
25%
Overreaction
25%
Bid-ask
25%
Intraday Reversal
25%
Transaction Costs
25%
Traders
25%
Price Change
25%
Economics, Econometrics and Finance
Stock Index
100%
Futures Market
100%
Price
100%
Transaction Costs
16%