Trading hours extension and intraday price behavior

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)

Abstract

Although studies argue that periodic market closure induces the well-known intraday price overreaction, namely, a negative association between intraday returns and overnight returns, no study examines how the overreaction phenomenon is affected by extending trading hours. This study empirically examines it by investigating two Japanese stock futures whose trading hours have been continuously and asynchronously extended. Surprisingly, the overreaction is stronger when the extended-hours session is longer, and trading activity during the session is higher. The result indicates that the extension can worsen the overreaction phenomenon, highlighting the existence of the negative impact of trading hours extension on price efficiency.

Original languageEnglish
Pages (from-to)572-585
Number of pages14
JournalInternational Review of Economics and Finance
Volume64
DOIs
Publication statusPublished - Nov 2019
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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