کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958576 | 929033 | 2010 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Do the prices of stock index futures in Asia overreact to U.S. market returns?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 17, Issue 3, June 2010, Pages 428–440
Journal: Journal of Empirical Finance - Volume 17, Issue 3, June 2010, Pages 428–440
نویسندگان
Alexander Kwok-Wah Fung, Kin Lam, Ka-Ming Lam,