Overnight information and anomalies

Jun Xie, Wenqian Xia and Bin Gao

Research in International Business and Finance, 2025, vol. 78, issue C

Abstract: We explore the connections between the U.S. market and overnight anomalies in China's A-share market to test whether overnight information influences overnight anomalies. By univariate and bivariate portfolio analysis, panel regression and Fama-Macbeth regression, we find that overnight anomalies in China's A-share market can persist for up to 1, 3, 6, and 12 months. Furthermore, the impact of overnight overall information measured in terms of U.S. stock returns on overnight anomalies in China's A-share is asymmetric with a weaker negative correlation between overnight returns and subsequent intraday returns, while the positive correlation between overnight returns and future overnight returns is unaffected. Conversely, irrational information measured in terms of U.S. stock sentiment weakens the negative correlation between overnight returns and future intraday returns and significantly reinforces the positive correlation between overnight returns and future overnight returns.

Keywords: Overnight returns; Intraday returns; U.S. investor sentiment; U.S. stock returns (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:78:y:2025:i:c:s0275531925002752

DOI: 10.1016/j.ribaf.2025.103019

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