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Trading activity and price reversals in futures markets

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  • Wang, Changyun
  • Yu, Min

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  • Wang, Changyun & Yu, Min, 2004. "Trading activity and price reversals in futures markets," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1337-1361, June.
    • Handle: RePEc:eee:jbfina:v:28:y:2004:i:6:p:1337-1361
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    1. Gervais, Simon & Odean, Terrance, 2001. "Learning to be Overconfident," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 1-27.
    2. Conrad, Jennifer S & Hameed, Allaudeen & Niden, Cathy, 1994. "Volume and Autocovariances in Short-Horizon Individual Security Returns," Journal of Finance, American Finance Association, vol. 49(4), pages 1305-1329, September.
    3. Terrance Odean., 1996. "Volume, Volatility, Price and Profit When All Trader Are Above Average," Research Program in Finance Working Papers RPF-266, University of California at Berkeley.
    4. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 21-39, March.
    5. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
    6. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    7. Bruce N. Lehmann, 1988. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc.
    8. Tarun Chordia & Bhaskaran Swaminathan, 2000. "Trading Volume and Cross‐Autocorrelations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(2), pages 913-935, April.
    9. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    10. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 1-28.
    11. Peter R. Locke & P. C. Venkatesh, 1997. "Futures market transaction costs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(2), pages 229-245, April.
    12. Conrad, Jennifer & Gultekin, Mustafa N & Kaul, Gautam, 1997. "Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 379-386, July.
    13. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    14. Christopher K. Ma & William H. Dare & Darla R. Donaldson, 1990. "Testing rationality in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 10(2), pages 137-152, April.
    15. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. "Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-181, March.
    16. Brennan, Michael J. & Subrahmanyam, Avanidhar, 1996. "Market microstructure and asset pricing: On the compensation for illiquidity in stock returns," Journal of Financial Economics, Elsevier, vol. 41(3), pages 441-464, July.
    17. Christopher K. Ma & Ramesh P. Rao & R. Stephen Sears, 1989. "Limit moves and price resolution: The case of the treasury bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(4), pages 321-335, August.
    18. Mei, Jianping & Gao, Bin, 1995. "Price Reversal, Transaction Costs, and Arbitrage Profits in the Real Estate Securities Market," The Journal of Real Estate Finance and Economics, Springer, vol. 11(2), pages 153-165, September.
    19. Hameed, Allaudeen & Ting, Serena, 2000. "Trading volume and short-horizon contrarian profits: Evidence from the Malaysian market," Pacific-Basin Finance Journal, Elsevier, vol. 8(1), pages 67-84, March.
    20. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
    21. Badrinath, S G & Kale, Jayant R & Noe, Thomas H, 1995. "Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns," The Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 401-430.
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