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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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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4D0Y55R-2/2/38a51d1111fd4e528763fbb887ff4c18
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 29 (2005)
    Issue (Month): 5 (May)
    Pages: 1311-1327

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    Handle: RePEc:eee:jbfina:v:29:y:2005:i:5:p:1311-1327

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    References

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    1. 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.
    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. Cornell, Bradford, 1985. " The Weekly Pattern in Stock Returns: Cash versus Futures: A Note," Journal of Finance, American Finance Association, vol. 40(2), pages 583-88, June.
    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(01), 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 147-63, April.
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    Cited by:
    1. 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.
    2. 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.
    3. 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.
    4. Kudryavtsev, Andrey, 2013. "Stock price reversals following end-of-the-day price moves," Economics Letters, Elsevier, vol. 118(1), pages 203-205.
    5. 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 - Faculdade de Economia, Universidade de Coimbra.
    6. 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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