Overnight information and anomalies

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-06-01 DOI:10.1016/j.ribaf.2025.103019

Jun Xie , Wenqian Xia , Bin Gao

引用次数: 0

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.

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夜间资料及异常情况

我们探讨了美国市场与中国a股市场隔夜异常之间的联系，以检验隔夜信息是否影响隔夜异常。通过单变量和双变量组合分析、面板回归和Fama-Macbeth回归，我们发现中国a股市场的隔夜异常可以持续长达1、3、6和12个月。此外，以美股收益衡量的隔夜整体信息对中国a股隔夜异常的影响是不对称的，隔夜收益与后续盘中收益之间的负相关较弱，而隔夜收益与未来隔夜收益之间的正相关不受影响。相反，以美股情绪衡量的非理性信息削弱了隔夜收益与未来日内收益之间的负相关关系，显著强化了隔夜收益与未来隔夜收益之间的正相关关系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance