haku: @author Wang, C. / yhteensä: 15
viite: 5 / 15
| Tekijä: | Wang, C. Yu, M. |
| Otsikko: | Trading activity and price reversals in futures markets |
| Lehti: | Journal of Banking and Finance
2004 : JUN, VOL. 28:6, p. 1337-1361 |
| Asiasana: | Financial markets Futures markets Trading Prices Models USA |
| Kieli: | eng |
| Tiivistelmä: | This study uses the standard contrarian portfolio (hereafter as: portf.) approach to examine short-horizon return predictability in 24 U.S. futures markets. Strong evidence of weekly return reversals is found, similar to the findings from equity market studies. When interacting btw. past returns (here as: p-ret.) and lagged changes (here as: l-chg.) in trading (here as: trad.) activity, it is found that the profits to contrarian portf. strategies are, on average, positively associated with l-chg. in trad. volume, but negatively related to l-chg. in open interest. In addition, it is shown that futures return predictability is more pronounced if interacting btw. p-ret. and l-chg. in both volume and open interest. |
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