Day-night anomaly returns in China: The role of institutions

Jiayan Qiu, Wei Huang and Ying Jiang

Research in International Business and Finance, 2025, vol. 75, issue C

Abstract: This paper examines the overnight and intraday anomalous return pattern based on an analysis of intraday trading data of the Chinese stock market from 2009 to 2021. A decomposition of the abnormal returns of seven trading strategies reveals that the anomalous profits mainly exist at the opening and closing of the market (i.e., U-shape), especially when the market is just open. Our evidence indicates that this pattern could be explained by the fact that institutions trade actively during these two periods for mispricing profits induced by the unique T + 1 rule in China.

Keywords: Overnight returns; Intraday returns; Decomposition; Trading strategies (search for similar items in EconPapers)
JEL-codes: G12 G23 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000327

DOI: 10.1016/j.ribaf.2025.102776

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