Overnight Returns and Daytime Reversals: Evidence From China's Convertible Bond Market

IF 2.1 Q2 BUSINESS, FINANCE

FINANCIAL REVIEW Pub Date : 2026-07-02 Epub Date: 2026-03-23 DOI:10.1111/fire.70052

Haoxi Yang, Jieyuan Yan, Xiangkun Yao

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引用次数: 0

Abstract

This study documents the persistent dynamics of positive overnight returns followed by daytime reversals in China's convertible bond market. We propose a novel attention-grabbing measure, the extreme high price ratio ( $E H P R$ ), defined as the ratio of the day's extreme high price to the closing price. This measure serves as a proxy for uninformed trading demand at the market open. Using high-frequency data, we find that $E H P R$ exhibits strong positive predictability for overnight returns and negative predictability for daytime returns. This pattern persists after controlling for alternative attention proxies, fundamental return drivers, and macroeconomic news releases. The results remain robust to a comprehensive set of tests. Our findings are consistent with the hypothesis that attention-driven uninformed trading plays a crucial role in shaping intraday price dynamics in China's convertible bond market.

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隔夜收益和日间反转：来自中国可转换债券市场的证据

本研究记录了中国可转换债券市场隔夜正收益的持续动态，随后是白天的逆转。我们提出了一个新颖的引人注目的措施，极端高价比（EHPR$ EHPR$），定义为当天的极端高价与收盘价的比率。这一指标反映了市场开盘时不知情的交易需求。利用高频数据，我们发现EHPR对隔夜收益表现出很强的正可预测性，而对日间收益表现出负可预测性。在控制了可选择的注意力代理、基本回报驱动因素和宏观经济新闻发布之后，这种模式仍然存在。经过一系列全面的测试，这些结果仍然是可靠的。我们的研究结果与我们的假设一致，即注意力驱动的不知情交易在塑造中国可转换债券市场的盘中价格动态中起着至关重要的作用。

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

FINANCIAL REVIEW BUSINESS, FINANCE-

CiteScore

3.30

自引率

28.10%

发文量