دانلود مقاله ISI انگلیسی شماره 10927
عنوان فارسی مقاله

آیا قیمت های معاملات آتی شاخص سهام در آسیا واکنش افراطی به بازده بازار ایالات متحده نشان می دهد؟

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
10927 2010 13 صفحه PDF سفارش دهید 9220 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Do the prices of stock index futures in Asia overreact to U.S. market returns?
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 17, Issue 3, June 2010, Pages 428–440

کلمات کلیدی
' - امور مالی رفتاری - واکنش افراطی - بازارهای آتی آسیایی - امور مالی بین المللی - تمایلات سرمایه گذاران -
پیش نمایش مقاله
پیش نمایش مقاله آیا قیمت های معاملات آتی شاخص سهام در آسیا واکنش افراطی به بازده بازار ایالات متحده نشان می دهد؟

چکیده انگلیسی

We extend the overreaction study to interaction of international markets and find that intraday price reversals exist in Asian index futures markets following extreme movement in U.S. market. Profitable opportunities exist after considering transaction cost. We show that the reversal cannot be explained by rational arguments such as risk, liquidity and bid-ask spread. We further observe that a magnitude effect exists. Overreaction is more prominent in the latter period than in the initial period. After calm-down periods, overreaction is greatly reduced. These observations support the explanation that the source of price reversals lies in behavioral biases.

مقدمه انگلیسی

This study examines the extent to which investors in the Asian markets have actually overreacted in determining the opening prices of index futures contracts. Specifically, we investigate Asian markets' response following a large rise/drop in the U.S. market. Our motivation for the paper is other studies in overreaction and studies on the structure of interdependence in international stock markets. Our work is similar to Engle et al. (1990) in that we all investigate the effects of U.S. on Asian markets and find that the relationship exists. However, while they look at the volatility spillover of foreign exchange markets in Tokyo and New York, we look at the overreaction of Asian index futures markets to price movement in U.S. Moreover, we show that there is a magnitude effect in such overreaction. Bessler and Yang (2003) use an error correction model to investigate the interdependence of international stock markets. They find out that the U.S. market is the only market that has a consistently strong impact on price movements in other major stock markets. Eun and Shim (1989) demonstrate that the U.S. market leads other world markets. These findings motivate us to investigate the reaction of Asian index futures markets to the U.S. stock market performance. Well known to practitioners and finance researchers, Asian markets that open after the U.S. markets close are expected to follow the U.S. trend. According to the efficient market hypothesis, since the most recent performance of the U.S. market is a piece of public information easily assessable to Asian investors, the price discovery process at market open should not cause any systematic reversals after market open. Thus, it is of theoretical interest to investigate such a possible reversal under an international setting.

نتیجه گیری انگلیسی

In this paper we show that investors in five Asian index futures markets (Singapore, Korea, Hong Kong, Taiwan and Japan) overreact to overnight performance of U.S. market. Moreover, the more extreme the U.S. markets overnight returns are, the higher will be the futures price reversals. Profitable opportunities exist after taking into consideration transaction cost. With risk, liquidity and bid-ask spread not being the cause of this phenomena, our finding is more consistent with investors' overreaction rather than rational explanation. As markets mature and information flows more freely, overreaction does not disappear. When investors have time to calm down, overreaction is reduced or even disappears. Each of these phenomena taken alone can also be explained by other ad hoc reasons. But the psychologically based overreaction hypothesis is consistent with all these observations.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.