Price Movements, Information and Liquidity in the Night Trading Market

Posted: 12 Dec 2005

See all articles by Antoine Giannetti

Antoine Giannetti

Florida Atlantic University

Stephen J. Larson

Eastern Illinois University - School of Business

Chun I. Lee

Loyola Marymount University - Department of Finance and Computer Information Systems

Jeff Madura

Florida Atlantic University - College of Business

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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.

Keywords: Market efficiency, liquidity, night trading, night session, overreaction, extreme price movements, winners, losers

JEL Classification: G12, G14

Suggested Citation

Giannetti, Antoine and Larson, Stephen J. and Lee, Chun I. and Madura, Jeff, Price Movements, Information and Liquidity in the Night Trading Market. Financial Review, Vol. 41, No. 1, February 2006. Available at SSRN: https://ssrn.com/abstract=868530

Antoine Giannetti

Florida Atlantic University ( email )

777 Glades Road
Boca Raton, FL 33431
United States
561-297-3192 (Phone)
561-297-2956 (Fax)

Stephen J. Larson

Eastern Illinois University - School of Business ( email )

600 Lincoln Ave.
Lumpkin Hall - 3010
Charleston, IL 61920
United States

Chun I. Lee

Loyola Marymount University - Department of Finance and Computer Information Systems ( email )

Los Angeles, CA 90045
United States

Jeff Madura (Contact Author)

Florida Atlantic University - College of Business ( email )

University Tower
220 SE 2 Avenue
Fort Lauderdale, FL 33301
United States
(954)762-5632 (Phone)
(954)762-5245 (Fax)

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