Price Movements, Information and Liquidity in the Night Trading Market
Posted: 12 Dec 2005
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
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