Price reversals versus price continuations: the transitory price effects of futures trading extension on the underlying stock market |
| |
| Authors: | Yue-cheong Chan Louis T W Cheng |
| |
| Institution: | (1) School of Accounting and Finance, Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong |
| |
| Abstract: | This paper examines the transitory price effects of index futures trading extension on the underlying stock market. Based
on the model formulation of George and Hwang (1995) and Amihud and Mendelson (1987) and using the Hong Kong data, we find that the extension of futures trading hour helps to reduce the opening pricing errors
and change the correlations between daytime and overnight stock returns. Our finding adds to the literature that the trading
behavior of derivatives has a significant influence on the transitory price changes of the underlying cash products.
|
| |
| Keywords: | Return correlations Variance ratio Price reversals Price continuations Transitory price changes |
| 本文献已被 SpringerLink 等数据库收录！ |
