Intraday Price Reversals in the Us Stock Index Futures Market: A 15-Year Study

Posted: 15 Apr 2005

See all articles by James L. Grant

James L. Grant

Independent

Avner Wolf

Baruch College

Susana Yu

State University in New York / Plattsburgh

Abstract

This paper gives a long-term assessment in intraday prices reversal in the US stock index futures market following large price changes at the market open, We find highly significant intraday reversal 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 con consistently profit from this information remains open at the significance of intraday price reversals is sharply reduced when gross trading results are adjusted by a bid-ask proximity for transactions costs.

Keywords: Index Futures, Overreactions Market Efficiency

JEL Classification: G14

Suggested Citation

Grant, James L. and Wolf, Avner and Yu, Susana, Intraday Price Reversals in the Us Stock Index Futures Market: A 15-Year Study. Available at SSRN: https://ssrn.com/abstract=689282

James L. Grant

Independent ( email )

Avner Wolf

Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States

Susana Yu (Contact Author)

State University in New York / Plattsburgh ( email )

101 Broad Street
Plattsburgh, NY 12901
United States

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