盘后交易的效率如何?

2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) Pub Date : 2013-04-16 DOI:10.1109/CIFEr.2013.6611693

A. Raudys, Esther Mohr, G. Schmidt

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引用次数: 1

摘要

本文对美国股市盘后交易进行了分析。这是在09:30-16:00的正常交易时间之外的交易。在此期间，市场交易清淡，价格(in)效率的可能性出现。可以观察到价格上涨或下跌有时达到几个百分点。这种模式可以通过一个简单的自动交易策略来利用，即在市场下跌时低买，在第二天市场重新开盘时高平仓。本文以2000年至2012年在纳斯达克和纽约证券交易所上市的流动性最强的股票和交易所交易基金为研究对象进行了实证研究。我们创建了约400个自动交易策略的投资组合。投资组合的平均年回报率为23%，夏普比率为4。这表明美国股市盘后交易的价格是低效的。为了检验显著性，我们从2012年开始进行样本外检验。

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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How (in)efficient is after-hours trading?

In this paper we analyze US stock market after-hours trading. This is a trading outside the regular trading hours of 09:30-16:00. During this time the market is thinly traded and the possibility of price (in)efficiency arises. Price spikes up or down sometimes reaching several percent can be observed. This pattern can be exploited by a simple automated trading strategy that buys low if market drops and closes the position high on the next day when the market reopens. An empirical study using the most liquid stocks and exchange traded funds listed in NASDAQ and NYSE exchanges for the years 2000 to 2012 is conducted. We create a portfolio of ~400 automated trading strategies. The average portfolio performance is a 23 percent per annum with a Sharpe ratio of 4. This shows that prices are inefficient during after-hours trading in the US stock market. To test for significance we run an out-of-sample test from 2012 onwards.

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来源期刊

2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)

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