Under the efficient market hypothesis (EMH), the asset prices should fully reflect all relevant information and future asset prices will not be predictable based on past information. However, we found intraday price reversals were found in Asian Pacific index futures markets following extreme movements in US stock market overnight. The observed price reversals cannot be explained by non-behavioral factors such as stop-loss activities, bid-ask bounces and thin trading. It is inconsistent with the implication of EMH.;On the other hand, we found that the observed price reversal is indeed triggered by the investors' overreaction to the overnight US stock market performance. For example, the greater the magnitude of the overnight US return, the greater is the overreaction. The price reversals were reduced after holiday, it is consistent with the calm down effect in psychological reaction. Intraday patterns of the futures were also studied, and we found that the overreaction will not be completed in a short period of time. All these suggest that the price reversals are caused by investors' behavioral biases.;A parallel study by Fung, Mok and Lam (2000) and Fung and Lam (2004) reported that the overreactions in the Hang Seng Index futures were related to the opening gap in futures prices and yesterday's basis. In this dissertation, we added these two factors with the overnight US return to explain the overreaction in the futures markets.;We developed different trading strategies based on the overreaction hypothesis and compared their performances with the benchmark buy-and-hold strategy. Although some strategies can generate profits in many markets and in many out-sample periods, no single trading strategy can beat the benchmark buy-and-hold strategy in all markets and in all periods.
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机译：在有效市场假设（EMH）下，资产价格应充分反映所有相关信息，并且根据过去的信息无法预测未来的资产价格。但是，我们发现，隔夜美国股市剧烈波动之后，亚太指数期货市场出现了日内价格反转。观察到的价格反转无法用非行为因素来解释，例如止损活动，买卖价反弹和交易清淡。另一方面，我们发现观察到的价格反转确实是由投资者对隔夜美国股市表现的过度反应触发的。例如，隔夜美国收益的幅度越大，反应过度就越大。假期后价格反转减少，这与心理反应的镇定作用一致。还研究了期货的盘中模式，我们发现过度反应不会在短时间内完成。所有这些都表明价格反转是由投资者的行为偏见引起的。Fung，Mok和Lam（2000）和Fung and Lam（2004）的一项并行研究表明，恒生指数期货的过度反应与开盘有关。期货价格与昨日基准价差。在本文中，我们将这两个因素与隔夜美国收益率相加，以解释期货市场的过度反应。我们根据过度反应假设制定了不同的交易策略，并将其表现与基准买入持有策略进行了比较。尽管某些策略可以在许多市场和多个样本时期内产生利润，但是没有一个交易策略可以在所有市场和所有时段内击败基准买入并持有策略。
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