How do investors react to overnight returns? Evidence from Korea

Hyuna Ham, Doojin Ryu, Robert I. Webb and Jinyoung Yu

Finance Research Letters, 2023, vol. 54, issue C

Abstract: We find a negative relationship between overnight and daytime returns on the Korean equity market. Overnight returns are positively (negatively) and nonlinearly associated with subsequent daytime returns when the overnight news is relatively good (bad). Trades by individual investors respond negatively to overnight returns, whereas those by domestic and foreign institutional investors exhibit positive-feedback trading behavior. Our findings challenge the conventional presumption about investors’ responses to overnight returns.

Keywords: Daytime reversal; Institutional investor; Korean equity market; Overnight return; Individual investor (search for similar items in EconPapers)
JEL-codes: G01 G12 G14 G17 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001526

DOI: 10.1016/j.frl.2023.103779

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