Limited Attention and Overnight Return Puzzle in Chinese Stock Markets
Posted: 24 May 2019 Last revised: 23 Jul 2019
Date Written: February 20, 2019
In this paper, we investigate an interesting puzzle that the average overnight return on market portfolio is signiﬁcantly negative in China’s stock market, which violates traditional assets pricing theory. More interestingly, this puzzle seems unique in China’s stock market, while the average overnight returns on various stock indices from other countries’ or regions’ markets are all positive or not significantly different from zero. Empirical evidence reveals that the limited attention theory can at least partially explain this phenomenon.
Keywords: overnight return puzzle, limited attention, Chinese stock markets
JEL Classification: G10; G12
Suggested Citation: Suggested Citation