OVERREACTION AND SHORT-TERM MARKET FACTORS IN THE INTEREST RATE FUTURES MARKETS

• 발행기관: People & Global Business Association
• 저자명: J Barry Lin T Chotigeat
• 간행물 정보: 『Global Business and Finance Review』Vol.5 No.2, 87~96쪽, 전체 9쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2000.12.31

영문 초록

Evidence of stock price overreaction is well documented in most stock markets, but it is quite limited in interest rate futures markets. This paper empirically investigates whether and to what degree, overreaction in interest rate future markets is influenced by recent information (short-term market factors). Using daily data from the interest rates of Eurodollar futures and U.S. T-bond futures, some degree of overreaction was found to be related to short-term market factors. These results have important implications for practitioners, i.e., the opportunity to gain abnormal returns by adopting a "contrarian" investment strategy. For hedgers, transactions are better conducted in days with normal levels of trading activity, as measured in terms of trading volume, intraday volatility, and market movement. On the contrary, professional traders, arbitrageurs, and speculators would find it more attractive to concentrate on days with abnormal levels of trading activity to exploit the larger degree of inefficiency in prices.

목차

Abstract

INTRODUCTION

LITERA TURE REVIEW

DATA AND MODEL

EMPIRICAL RESULTS AND IMPLICATIONS OF THE FINDINGS

REFERENCES