Contrarian profits in the futures markets.
Item
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Title
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Contrarian profits in the futures markets.
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Identifier
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AAI9605621
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identifier
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9605621
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Creator
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Lin, Jang-Shee.
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Contributor
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Adviser: Avner Wolf
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Date
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1995
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Finance
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Abstract
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Many studies in the stock markets provide evidence of overreaction in terms of Contrarian Profits. This study provides new evidence that there is overreaction in some futures markets and that there are some prevalent patterns in the contrarian profits.;It is shown that there are significant price reversals in opening prices in general, but generally not in the settlement prices. We find that over a whole-day trading period (Open-to-Open), most price reversals occur in the first half-day period (Open-to-Settlement). Trading beyond that, in the second half-day (Settlement-to-Open), generates insignificant or negative profits. This is evidence that overreaction in the opening prices is quickly corrected.;We find evidence that the degree of overreaction is related to the market setting. Days of large overreaction are associated with larger market movements, larger intraday volatility, and larger change in daily trading volume.;Substantial drop in trading volume is associated with larger overreaction. These are evidence that prices are less efficient when there is more information flow, higher volatility, and less trading activity.;We also found a weekday pattern. In many futures markets, the Friday contrarian profits tend to be higher than those of the other weekdays.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
