From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading |
| |
| Institution: | 1. University of Liverpool Management School, Chatham Building, Chatham Street, Liverpool L69 7ZH, UK;1. Business School, Sichuan University, Chengdu, China;2. School of Economics & Management, Southwest Jiaotong University, Chengdu, China;3. School of Economics and Finance, Xi''an Jiaotong University, Xi''an, China;4. School of Business and Management, Queen Mary University of London, London, United Kingdom;1. Hull University Business School, University of Hull, Hull HU67RX, United Kingdom;2. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing 100081, China;1. Alliance Manchester Business School, University of Manchester, Booth Street West, Manchester, UK, M15 6PB, UK |
| |
| Abstract: | Although overnight-versus-daytime return reversals have often been ascribed to the heterogeneous clienteles of the overnight and daytime sessions, there exists no evidence to date on how those clienteles' trading behaviour motivates these reversals. We empirically investigate this issue for the first time by assessing whether these reversals are the result of feedback trading during overnight/daytime hours. Drawing on the S&P 500 ETF for the 1993–2021 period, we find that overnight (daytime) feedback trading largely motivates the expected positive (negative) overnight (daytime) returns; in line with this, days entailing the expected negative overnight-versus-daytime return reversals accommodate stronger feedback trading at the daily (i.e., close-to-close) frequency. Daytime feedback trading is present when the immediately preceding overnight session's returns are positive, while overnight feedback trading reveals a strong Monday-effect. We also show that overnight-versus-daytime variations of feedback trading hold across other large US ETFs. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
