Trading hours extension and intraday price behavior

研究成果: Contribution to journalArticle査読

3 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)572-585
ページ数14
ジャーナルInternational Review of Economics and Finance
64
DOI
出版ステータス出版済み - 11 2019
外部発表はい

All Science Journal Classification (ASJC) codes

  • 財務
  • 経済学、計量経済学

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