Overnight Return, the Invisible Hand Behind Intraday Returns?

Journal of Applied Finance, Fall/Winter 2012, Volume 22, No. 2

Posted: 16 Jul 2013

See all articles by Ben S. Branch

Ben S. Branch

University of Massachusetts Amherst - Isenberg School of Management

Aixin (James) Ma

Oklahoma City University - Meinders School of Business

Multiple version iconThere are 3 versions of this paper

Date Written: July 15, 2013

Abstract

An efficient market (weak form) will contain no significant price pattern, a view supported by numerous empirical studies. Our study, however, reveals a very strong negative autocorrelation between overnight and intraday returns, regardless of our sampling method or the methodology in use. Though this poses potential market mispricing opportunities, we conclude that future studies are needed in order to determine whether anyone other than a market maker can fully exploit these opportunities.

Keywords: efficient markets, autocorrelation, net asset value, overnight returns, intraday returns

Suggested Citation

Branch, Ben S. and Ma, Aixin, Overnight Return, the Invisible Hand Behind Intraday Returns? (July 15, 2013). Journal of Applied Finance, Fall/Winter 2012, Volume 22, No. 2 , Available at SSRN: https://ssrn.com/abstract=2294017

Ben S. Branch (Contact Author)

University of Massachusetts Amherst - Isenberg School of Management ( email )

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Aixin Ma

Oklahoma City University - Meinders School of Business ( email )

2501 North Blackwelder
Oklahoma City, OK 73106-1493
United States
405-208-5827 (Phone)

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