Intraday Price Reversals in the Us Stock Index Futures Market

Download or read book Intraday Price Reversals in the Us Stock Index Futures Market written by James L. Grant and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.