高雅

个人信息Personal Information

副教授

硕士生导师

性别:女

出生日期:1991-10-25

毕业院校:天津大学

学位:博士

所在单位:金融与会计研究所

学科:金融学

电子邮箱:gaoya@dlut.edu.cn

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Overnight momentum, informational shocks, and late informed trading in China

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论文类型:期刊论文

第一作者:Gao, Ya

通讯作者:Xiong, X (reprint author), Tianjin Univ, Coll Management & Econ, 92 Weijin Rd, Tianjin 300072, Peoples R China.

合写作者:Han, Xing,Li, Youwei,Xiong, Xiong

发表时间:2019-11-01

发表刊物:INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

收录刊物:SSCI

卷号:66

ISSN号:1057-5219

关键字:Intraday momentum; Overnight return; Price jump; Late-informed trading

摘要:Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening half-hour component, which is consistent with the microstructure features of the Chinese market. Third, the intraday predictability attenuates (strengthens) following large positive (negative) informational shocks, implying a striking asymmetric reaction by market participants. Finally, we document that late-informed traders are relatively less experienced or skilful. Overall, the empirical results lend support to the model of late-informed trading.