Overnight momentum, informational shocks, and late informed trading in China
Gao, Ya; Han, Xing; Li, Youwei; Xiong, Xiong
Professor Youwei Li Youwei.Li@hull.ac.uk
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.
|Journal Article Type||Article|
|Journal||International Review of Financial Analysis|
|Peer Reviewed||Peer Reviewed|
|APA6 Citation||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. https://doi.org/10.1016/j.irfa.2019.101394|
|Keywords||Intraday momentum; Overnight return; Price jump; Late-informed trading|
This file is under embargo due to copyright reasons.
Contact Youwei.Li@hull.ac.uk to request a copy for personal use.
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