Trading hours extension and intraday price behavior

Kotaro Miwa

International Review of Economics & Finance, 2019, vol. 64, issue C, 572-585

Abstract: Although studies argue that periodic market closure induces the well-known intraday price overreaction, namely, a negative association between intraday returns and overnight returns, no study examines how the overreaction phenomenon is affected by extending trading hours. This study empirically examines it by investigating two Japanese stock futures whose trading hours have been continuously and asynchronously extended. Surprisingly, the overreaction is stronger when the extended-hours session is longer, and trading activity during the session is higher. The result indicates that the extension can worsen the overreaction phenomenon, highlighting the existence of the negative impact of trading hours extension on price efficiency.

Keywords: Price overreaction; Stock futures; Opening price; Trading hours (search for similar items in EconPapers)
JEL-codes: G14 G17 G2 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:64:y:2019:i:c:p:572-585

DOI: 10.1016/j.iref.2019.07.007

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