Overnight Momentum, Informational Shocks, and Late-Informed Trading in China

Ya Gao, Xing Han, Youwei Li and Xiong Xiong

MPRA Paper from University Library of Munich, Germany

Abstract: Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening half-hour component, which is consistent with the microstructure features of the Chinese market. Third, the intraday predictability attenuates (strengthens) following large positive (negative) informational shocks, implying a striking asymmetric reaction by market participants. Finally, we document that late-informed traders are relatively less experienced or skilful. Overall, the empirical results lend support to the model of late-informed trading.

Keywords: intraday momentum; overnight return; price jump; late-informed trading (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 G17 (search for similar items in EconPapers)
Date: 2019-09-16
New Economics Papers: this item is included in nep-mst and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Journal Article: Overnight momentum, informational shocks, and late informed trading in China (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:96784

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