THE GOLD AND SILVER FUTURES MARKETS: AN ANALYSIS OF SHORT-TERM PRICE REVERSAL BEHAVIOR

• 발행기관: People & Global Business Association
• 저자명: J Barry Lin T Chotigeat Amy Ho
• 간행물 정보: 『Global Business and Finance Review』Vol.8 No.2, 51~60쪽, 전체 10쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2003.12.31

영문 초록

Many studies of stock markets provide evidence of overreaction and price reversals. Using a contrarian-trading scheme, this study provides evidence that price reversals in the gold and silver futures markets are related to information flow, change in trading volume, and intraday volatility. A larger information flow is associated with larger price reversals. Large price reversals also tend to occur on days with lower trading volume and days with a sharp change in trading volume from the prior day. Negative market movements are associated with larger price reversals than positive market movements. Larger price reversals also tend to occur on days with high intraday volatility.

목차

Abstract

INTRODUCTION

DATA AND MODEL

EFFECTS OF INFORMATION IMPACT, VOLATILITY, AND VOLUME

IMPACT OF INFORMATION FLOW

EFFECT OF INTRADAY VOLATILITY

EFFECT OF TRADING VOLUME

CONCLUSIONS

REFERENCES