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Price Movements, Information, and Liquidity in the Night Trading Market

Author

Listed:
  • Antoine Giannetti
  • Stephen J. Larson
  • Chun I. Lee
  • Jeff Madura

Abstract

Forward Links to Citing Articles Erratum. The Financial Review 41: 2, 305. Online publication date: 11‐Apr‐2006. Abstract Night trading provides an ideal laboratory to assess the behavior of stock markets when institutional liquidity providers are less active. The evidence indicates that extreme positive (winner) and negative (loser) stock‐price movements during night sessions are followed by reversals the next day. The reversals are more pronounced following extreme stock‐price movements that are associated with less trading volume and lower liquidity. Within‐the‐night sample reversals are less pronounced for stocks of companies issuing earnings announcements.

Suggested Citation

  • Antoine Giannetti & Stephen J. Larson & Chun I. Lee & Jeff Madura, 2006. "Price Movements, Information, and Liquidity in the Night Trading Market," The Financial Review, Eastern Finance Association, vol. 41(1), pages 119-137, February.
    • Handle: RePEc:bla:finrev:v:41:y:2006:i:1:p:119-137
    DOI: 10.1111/j.1540-6288.2006.00136.x
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    Cited by:

    1. Guglielmo Maria Caporale & Alex Plastun, 2020. "Momentum effects in the cryptocurrency market after one-day abnormal returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 251-266, September.
    2. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    3. Kallinterakis, Vasileios & Karaa, Rabaa, 2023. "From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading," International Review of Financial Analysis, Elsevier, vol. 85(C).

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