{"title":"Day-night anomaly returns in China: The role of institutions","authors":"Jiayan Qiu , Wei Huang , Ying Jiang","doi":"10.1016/j.ribaf.2025.102776","DOIUrl":null,"url":null,"abstract":"<div><div>This paper examines the overnight and intraday anomalous return pattern based on an analysis of intraday trading data of the Chinese stock market from 2009 to 2021. A decomposition of the abnormal returns of seven trading strategies reveals that the anomalous profits mainly exist at the opening and closing of the market (i.e., U-shape), especially when the market is just open. Our evidence indicates that this pattern could be explained by the fact that institutions trade actively during these two periods for mispricing profits induced by the unique T + 1 rule in China.</div></div>","PeriodicalId":51430,"journal":{"name":"Research in International Business and Finance","volume":"75 ","pages":"Article 102776"},"PeriodicalIF":6.3000,"publicationDate":"2025-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research in International Business and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0275531925000327","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This paper examines the overnight and intraday anomalous return pattern based on an analysis of intraday trading data of the Chinese stock market from 2009 to 2021. A decomposition of the abnormal returns of seven trading strategies reveals that the anomalous profits mainly exist at the opening and closing of the market (i.e., U-shape), especially when the market is just open. Our evidence indicates that this pattern could be explained by the fact that institutions trade actively during these two periods for mispricing profits induced by the unique T + 1 rule in China.
期刊介绍：
Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance
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