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

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  • Grant, James L.
  • Wolf, Avner
  • Yu, Susana

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  • Grant, James L. & Wolf, Avner & Yu, Susana, 2005. "Intraday price reversals in the US stock index futures market: A 15-year study," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1311-1327, May.
    • Handle: RePEc:eee:jbfina:v:29:y:2005:i:5:p:1311-1327
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    References listed on IDEAS

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    1. Cornell, Bradford, 1985. "The Weekly Pattern in Stock Returns: Cash versus Futures: A Note," Journal of Finance, American Finance Association, vol. 40(2), pages 583-588, June.
    2. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    3. Frino, Alex & Hill, Amelia, 2001. "Intraday futures market behaviour around major scheduled macroeconomic announcements: Australian evidence," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1319-1337, July.
    4. Ederington, Louis H. & Lee, Jae Ha, 1995. "The Short-Run Dynamics of the Price Adjustment to New Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 117-134, March.
    5. Chan, K C, 1988. "On the Contrarian Investment Strategy," The Journal of Business, University of Chicago Press, vol. 61(2), pages 147-163, April.
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    Cited by:

    1. Johannes Stübinger & Lucas Schneider, 2019. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    2. Helder Sebastião, 2008. "The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems," GEMF Working Papers 2008-07, GEMF, Faculty of Economics, University of Coimbra.
    3. Todorova, Neda, 2017. "The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis," Economic Modelling, Elsevier, vol. 64(C), pages 221-230.
    4. Rentzler, Joel & Tandon, Kishore & Yu, Susana, 2006. "Short-term market efficiency in the futures markets: TOPIX futures and 10-year JGB futures," Global Finance Journal, Elsevier, vol. 16(3), pages 330-353, March.
    5. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2020. "Price gap anomaly in the US stock market: The whole story," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    6. Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.
    7. Andrey Kudryavtsev, 2014. "When Do Opening Stock Returns Tend to be Higher?," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 445-458, September.
    8. Chen, Chun-nan, 2013. "The predictability of opening returns for the returns of the trading day: Evidence from Taiwan futures market," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 272-281.
    9. Plastun, Alex & Sibande, Xolani & Gupta, Rangan & Wohar, Mark E., 2021. "Evolution of price effects after one-day abnormal returns in the US stock market," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    10. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2024. "Bitcoin market reactions to large price swings of international stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 72-88.
    11. Fung, Alexander Kwok-Wah & Lam, Kin & Lam, Ka-Ming, 2010. "Do the prices of stock index futures in Asia overreact to U.S. market returns?," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 428-440, June.
    12. Su, Zhifang & Bao, Haohua & Li, Qifang & Xu, Boyu & Cui, Xin, 2022. "The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model," Finance Research Letters, Elsevier, vol. 47(PB).
    13. Miwa, Kotaro, 2019. "Trading hours extension and intraday price behavior," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 572-585.
    14. Andrey KUDRYAVTSEV, 2013. "Mechanism Of Autocorrelations Of Individual Stocks' Opening Returns," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 12, pages 37-56, June.
    15. Chen, Pei-wen & Huang, Han-ching & Su, Yong-chern, 2014. "The central bank in market efficiency: The case of Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 239-260.
    16. Santiago Velásquez & Juho Kanniainen & Saku Mäkinen & Jaakko Valli, 2018. "Layoff announcements and intra-day market reactions," Review of Managerial Science, Springer, vol. 12(1), pages 203-228, January.
    17. Kudryavtsev, Andrey, 2013. "Stock price reversals following end-of-the-day price moves," Economics Letters, Elsevier, vol. 118(1), pages 203-205.
    18. Paulo Sergio Ceretta & Alexandre Silva Da costa, 2017. "The Gap Effect on the Brazilian Exchange," Economics Bulletin, AccessEcon, vol. 37(4), pages 2505-2516.
    19. Parikakis, George S. & Syriopoulos, Theodore, 2008. "Contrarian strategy and overreaction in foreign exchange markets," Research in International Business and Finance, Elsevier, vol. 22(3), pages 319-324, September.

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