Original paper
Overnight momentum, informational shocks, and late informed trading in China
Volume: 66, Pages: 101394 - 101394
Published: Nov 1, 2019
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)...
Paper Details
Title
Overnight momentum, informational shocks, and late informed trading in China
Published Date
Nov 1, 2019
Volume
66
Pages
101394 - 101394
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