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论文类型：期刊论文

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.