http://dx.doi.org/10.1016/j.jempfin.2009.12.006">
 

Document Type

Journal Article

Department/Unit

Department of Finance & Decision Sciences

Title

Do the prices of stock index futures in Asia overreact to U.S. market returns?

Language

English

Abstract

We extend the overreaction study to interaction of international markets and find that intraday price reversals exist in Asian index futures markets following extreme movement in U.S. market. Profitable opportunities exist after considering transaction cost. We show that the reversal cannot be explained by rational arguments such as risk, liquidity and bid-ask spread. We further observe that a magnitude effect exists. Overreaction is more prominent in the latter period than in the initial period. After calm-down periods, overreaction is greatly reduced. These observations support the explanation that the source of price reversals lies in behavioral biases. © 2009 Elsevier B.V.

Keywords

Asian futures markets, Behavioral finance, G14, G15, International finance, Investors' sentiment, Overreaction

Publication Date

2010

Source Publication Title

Journal of Empirical Finance

Volume

17

Issue

3

Start Page

428

End Page

440

Publisher

Elsevier

ISSN (print)

09275398

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