Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/9441
DC FieldValueLanguage
dc.contributorSchool of Accounting and Finance-
dc.creatorChan, YC-
dc.creatorCheng, LTW-
dc.date.accessioned2015-06-23T09:15:58Z-
dc.date.available2015-06-23T09:15:58Z-
dc.identifier.issn0924-865X-
dc.identifier.urihttp://hdl.handle.net/10397/9441-
dc.language.isoenen_US
dc.subjectPrice continuationsen_US
dc.subjectPrice reversalsen_US
dc.subjectReturn correlationsen_US
dc.subjectTransitory price changesen_US
dc.subjectVariance ratioen_US
dc.titlePrice reversals versus price continuations : the transitory price effects of futures trading extension on the underlying stock marketen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage159-
dc.identifier.epage176-
dc.identifier.volume33-
dc.identifier.issue2-
dc.identifier.doi10.1007/s11156-009-0108-0-
dcterms.abstractThis 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.-
dcterms.bibliographicCitationReview of quantitative finance and accounting, 2009, v. 33, no. 2, p. 159-176-
dcterms.isPartOfReview of Quantitative Finance and Accounting-
dcterms.issued2009-
dc.identifier.scopus2-s2.0-70349336423-
dc.identifier.rosgroupidr49395-
dc.description.ros2009-2010 > Academic research: refereed > Publication in refereed journal-
Appears in Collections:Journal/Magazine Article
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