Nasdaq-100 Index Futures: Intraday Momentum or Reversal?

Posted: 29 Apr 2005

See all articles by Susana Yu

Susana Yu

State University in New York / Plattsburgh

Joel Rentzler

City University of New York (CUNY) - Baruch College

Avner Wolf

Baruch College

Abstract

This paper explores the intraday behavior of the NASDAQ-100 futures index for momentum and reversals. A multiple regression model simultaneously (1) relates today's intraday returns to yesterday's and last night's returns, and (2) estimates how the relationship changes with the signs of yesterday's and last night's return, whether today is in a bull or bear market, and the day of the week. A simplistic view of momentum and reversal proves untenable. There appear to be both momentum and reversal effects and they appear to depend on the signs of yesterday's and last night's returns, and whether today is a Monday. Yesterday's return is associated with both momentum and reversals. Last night's return is predominately associated with reversals. An efficient forecast model is in favor on four intraday periods. This result suggests that there is a structural feature of the futures market in the opening hours.

Keywords: Index futures, overreaction, market efficiency

JEL Classification: G00

Suggested Citation

Yu, Susana and Rentzler, Joel and Wolf, Avner, Nasdaq-100 Index Futures: Intraday Momentum or Reversal?. Available at SSRN: https://ssrn.com/abstract=712168

Susana Yu (Contact Author)

State University in New York / Plattsburgh ( email )

101 Broad Street
Plattsburgh, NY 12901
United States

Joel Rentzler

City University of New York (CUNY) - Baruch College ( email )

17 Lexington Avenue
New York, NY 10010
United States

Avner Wolf

Baruch College ( email )

One Bernard Baruch Way
New York, NY 10010
United States

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