 Overnight returns, daytime reversals, and future stock returns: Is China different?Muhammad A. Cheema, Mardy Chiah and Yimei Man Pacific-Basin Finance Journal, 2022, vol. 74, issue C Abstract: Akbas et al. (2021) demonstrate that a more intense daily “tug of war” between overnight noise traders and daytime arbitrageurs predicts higher future returns in the US market. We investigate whether the daily tug of war contains predictive information about future stock returns in China. Using the frequency of negative daytime reversals, we find no significant difference in the future returns of stocks with a high versus a low level of intensity in this tug of war. However, we find persistent positive overnight returns followed by daytime reversals of almost similar magnitudes once we decompose the future returns into their overnight and daytime components. Thus, positive returns of the overnight component and negative returns of the daytime component cancel out each other, resulting in no predictive relationship between the daily tug of war and future returns in China. Keywords: Tug of war; China; Overnight returns; Daytime reversal; Individuals; Arbitrageurs (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:74:y:2022:i:c:s0927538x22001044 DOI: 10.1016/j.pacfin.2022.101809 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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