Overnight Return, the Invisible Hand Behind Intraday Returns?

11 Pages Posted: 12 Nov 2015

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

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Date Written: November 12, 2015

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.

Suggested Citation

Branch, Ben S. and Ma, Aixin, Overnight Return, the Invisible Hand Behind Intraday Returns? (November 12, 2015). Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 22, No. 2, 2012, Available at SSRN: https://ssrn.com/abstract=2689719

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 )

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United States
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