Price Movements, Information, and Liquidity in the Night Trading Market

Antoine Giannetti, Stephen J. Larson, Chun I. Lee and Jeff Madura

The Financial Review, 2006, vol. 41, issue 1, 119-137

Abstract: Forward Links to Citing Articles Erratum. The Financial Review 41: 2, 305. Online publication date: 11‐Apr‐2006. Abstract Night trading provides an ideal laboratory to assess the behavior of stock markets when institutional liquidity providers are less active. The evidence indicates that extreme positive (winner) and negative (loser) stock‐price movements during night sessions are followed by reversals the next day. The reversals are more pronounced following extreme stock‐price movements that are associated with less trading volume and lower liquidity. Within‐the‐night sample reversals are less pronounced for stocks of companies issuing earnings announcements.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/j.1540-6288.2006.00136.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:41:y:2006:i:1:p:119-137

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().