Limited Attention and Overnight Return Puzzle in Chinese Stock Markets

Posted: 24 May 2019 Last revised: 23 Jul 2019

See all articles by Fei Su

Fei Su

Nanjing University of Aeronautics and Astronautics - College of Economics and Management

Feng Xu

Tianjin University - College of Management and Economics

Date Written: February 20, 2019

Abstract

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

Su, Fei and Xu, Feng, Limited Attention and Overnight Return Puzzle in Chinese Stock Markets (February 20, 2019). Available at SSRN: https://ssrn.com/abstract=3370700

Fei Su

Nanjing University of Aeronautics and Astronautics - College of Economics and Management ( email )

PO Box 150
Jiangning District
Nanjing 210016
China

Feng Xu (Contact Author)

Tianjin University - College of Management and Economics ( email )

NO.92 Weijin Road
Nankai District
Tianjin, 300072
China

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