Market Closures and Cross-sectional Stock Returns

Kotaro Miwa ()
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Kotaro Miwa: Tokio Marine Asset Management Co., Ltd

Asia-Pacific Financial Markets, 2020, vol. 27, issue 1, No 1, 33 pages

Abstract: Abstract By analyzing not only an overnight return but also a midday-recess return, namely, a stock return during midday-recess, I analyze whether and why market closures affect cross-sectional stock returns. I find strong persistence in overnight and midday-recess returns, with both returns positively associated with each other. Moreover, these out-of-trading-hours returns are negatively associated with returns during trading hours. I analyze whether these associations are explained by a different investor clientele outside trading hours (the open of the trading session) compared to during trading hours (intraday and closing of the trading session). I find that institutional ownership increases more with returns during trading hours; the finding indicates that those returns are mainly determined by institutional investors, while midday-recess and overnight returns, that is, returns outside trading hours, are not. Overall, my results support the view that market closures do affect cross-sectional returns and the influence is attributable to differences in the investor clientele.

Keywords: Intraday-basis returns; Investor clientele; Market closure; Midday-recess (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10690-019-09279-z

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