Please use this identifier to cite or link to this item: https://doi.org/10.1016/S0378-4266(03)00120-1
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dc.titleTrading activity and price reversals in futures markets
dc.contributor.authorWang, C.
dc.contributor.authorYu, M.
dc.date.accessioned2013-10-09T08:22:10Z
dc.date.available2013-10-09T08:22:10Z
dc.date.issued2004
dc.identifier.citationWang, C., Yu, M. (2004). Trading activity and price reversals in futures markets. Journal of Banking and Finance 28 (6) : 1337-1361. ScholarBank@NUS Repository. https://doi.org/10.1016/S0378-4266(03)00120-1
dc.identifier.issn03784266
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/44495
dc.description.abstractWe use the standard contrarian portfolio approach to examine short-horizon return predictability in 24 US futures markets. We find strong evidence of weekly return reversals, similar to the findings from equity market studies. When interacting between past returns and lagged changes in trading activity (volume and/or open interest), we find that the profits to contrarian portfolio strategies are, on average, positively associated with lagged changes in trading volume, but negatively related to lagged changes in open interest. We also show that futures return predictability is more pronounced if interacting between past returns and lagged changes in both volume and open interest. Our results suggest that futures market overreaction exists, and both past prices and trading activity contain useful information about future market movements. These findings have implications for futures market efficiency and are useful for futures market participants, particularly commodity pool operators. © 2003 Elsevier B.V. All rights reserved.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/S0378-4266(03)00120-1
dc.sourceScopus
dc.subjectFutures markets
dc.subjectOpen interest
dc.subjectOverreaction
dc.subjectPrice reversals
dc.subjectTrading volume
dc.typeArticle
dc.contributor.departmentFINANCE & ACCOUNTING
dc.description.doi10.1016/S0378-4266(03)00120-1
dc.description.sourcetitleJournal of Banking and Finance
dc.description.volume28
dc.description.issue6
dc.description.page1337-1361
dc.description.codenJBFID
dc.identifier.isiut000221398600007
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