Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/9441
Title: Price reversals versus price continuations : the transitory price effects of futures trading extension on the underlying stock market
Authors: Chan, YC 
Cheng, LTW 
Issue Date: 2009
Source: Review of quantitative finance and accounting, 2009, v. 33, no. 2, p. 159-176
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: Price continuations
Price reversals
Return correlations
Transitory price changes
Variance ratio
Journal: Review of Quantitative Finance and Accounting 
ISSN: 0924-865X
DOI: 10.1007/s11156-009-0108-0
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