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Overnight momentum, informational shocks, and late informed trading in China

Gao, Ya; Han, Xing; Li, Youwei; Xiong, Xiong


Ya Gao

Xing Han

Xiong Xiong


Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening half-hour component, which is consistent with the microstructure features of the Chinese market. Third, the intraday predictability attenuates (strengthens) following large positive (negative) informational shocks, implying a striking asymmetric reaction by market participants. Finally, we document that late-informed traders are relatively less experienced or skilful. Overall, the empirical results lend support to the model of late-informed trading.


Gao, Y., Han, X., Li, Y., & Xiong, X. (2019). Overnight momentum, informational shocks, and late informed trading in China. International review of financial analysis, 66, 101394.

Journal Article Type Article
Acceptance Date Oct 13, 2019
Online Publication Date Oct 22, 2019
Publication Date 2019-11
Deposit Date Oct 25, 2019
Publicly Available Date Nov 30, -0001
Journal International Review of Financial Analysis
Print ISSN 1057-5219
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 66
Pages 101394
Keywords Intraday momentum; Overnight return; Price jump; Late-informed trading
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