Fung, Alexander Kwok-Wah; Lam, Kin; Lam, Ka-Ming - In: Journal of Empirical Finance 17 (2010) 3, pp. 428-440
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...