Overnight returns following large price movements

被引：0

作者：

Lin, Anchor Y. ^{[1
]}

Lin, Hung-Yi ^{[1
]}

Huang, Lin-Hsiang ^{[1
]}

Lin, Yueh-Neng ^{[1
]}

机构：

[1] Natl Chung Hsing Univ, Dept Finance, Taichung, Taiwan

来源：

FINANCE RESEARCH LETTERS | 2024年 / 62卷

关键词：

Overnight return; Large price movement; Contagion mispricing;

D O I：

10.1016/j.frl.2024.105136

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using 5-second data to simulate overnight and intraday trading, we found that a significant price drop in the NASDAQ index has a contagion effect on price downward stocks listed on Taiwan's stock exchange. After the NASDAQ index experienced a 3-4 % drop, traders could profit by trading on stocks falling more than 7 % without hitting floor limits. The positive returns are significantly associated with firms' characteristics of small size, high prices, high trading volume, and low net profit margin. Upon large price movements, traders could exploit contagion mispricing to make short-term profits.

引用

页数：5

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