کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083966 | 1477823 | 2011 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Momentum and reversals in Taiwan index futures returns during periods of extreme trading imbalance
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The study analyzes the relation between a trading imbalance metric that captures data observable by investors, and future momentum and reversals in Taiwan index futures returns. Standard regression analyses do not show any significant dynamic relations between daily index futures returns and the trading imbalance, regardless of whether the trading imbalance metric is lagged, contemporaneous, or leads the index futures return. However, when the analyses are focused on periods with extreme trading imbalances I find that the daily index futures returns exhibit significant reversals following periods of extreme (low) trading imbalances and low returns. I also find some evidence of residual momentum in consecutive daily index futures returns following periods of extreme (high) trading imbalances and high returns. Trading simulation, directional accuracy, and market timing tests show these effects to be economically significant, even after accounting for transaction costs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 20, Issue 3, June 2011, Pages 459-467
Journal: International Review of Economics & Finance - Volume 20, Issue 3, June 2011, Pages 459-467
نویسندگان
Erin H. Kao,