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

Ya Gao, Xing Han, Youwei Li and Xiong Xiong

International Review of Financial Analysis, 2019, vol. 66, issue C

Abstract: 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.

Keywords: Intraday momentum; Overnight return; Price jump; Late-informed trading (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Working Paper: Overnight Momentum, Informational Shocks, and Late-Informed Trading in China (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:66:y:2019:i:c:s1057521919302741

DOI: 10.1016/j.irfa.2019.101394

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