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

19 Pages Posted: 20 Nov 2006

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

Minnesota State University, Mankato

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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.

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. The Financial Review, Vol. 41, No. 1, pp. 119-137, February 2006. Available at SSRN: https://ssrn.com/abstract=945504 or http://dx.doi.org/10.1111/j.1540-6288.2006.00136.x

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)

Minnesota State University, Mankato ( email )

150 Morris Hall
Mankato, MN Minnesota 56001
United States

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