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Price Movements, Information, and Liquidity in the Night Trading Market
Author(s) -
Giannetti Antoine,
Larson Stephen J.,
Lee Chun I.,
Madura Jeff
Publication year - 2006
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2006.00136.x
Subject(s) - market liquidity , earnings , stock (firearms) , monetary economics , stock price , economics , financial economics , business , finance , geography , archaeology , paleontology , series (stratigraphy) , biology
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Erratum . The Financial Review 41: 2, 305 .
Online publication date: 11‐Apr‐2006.Abstract Night trading provides an ideal laboratory to assess the behavior of stock markets when institutional liquidity providers are less active. The evidence indicates that extreme positive (winner) and negative (loser) stock‐price movements during night sessions are followed by reversals the next day. The reversals are more pronounced following extreme stock‐price movements that are associated with less trading volume and lower liquidity. Within‐the‐night sample reversals are less pronounced for stocks of companies issuing earnings announcements.