Swing Trading Signals


Since 2013

  • 100% Quantified, data-driven and Backtested
  • We always show our results!
  • Signals every day via our site or email
  • Cancel at any time!

Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective

Last Updated on 10 February, 2024 by Rejaul Karim

https://www.youtube.com/watch?v=_XVib3RF9sU

Unveiling the nuanced dynamics of market behavior, the research article titled “Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective” by Ben S. Branch and Aixin (James) Ma offers a comprehensive analysis of the intricate relationship between overnight and intraday returns.

Published on October 25, 2018, by the University of Massachusetts Amherst – Isenberg School of Management and Oklahoma City University – Meinders School of Business, this retrospective study extends its purview to encompass recent, ostensibly tranquil market years. The investigation unveils a persistent autocorrelation between overnight and intraday returns among smaller stocks, presenting a monotonic nature where the strength of overnight returns influences a corresponding directional shift in intraday returns.

Notably, this phenomenon is discernible in smaller stocks but not in the S&P500. Furthermore, the study provides compelling evidence indicating a reduction in market volatility in recent years, with the market factor exerting a more pronounced influence on stock returns. Delving into anomalies, intraday returns, overnight returns, and market efficiency, the research contributes valuable insights into the subtle interplay shaping financial markets.

Abstract Of Paper

In an effort to extend our study on the relationship between overnight and intraday returns, we expand the study horizon to include more recent, relatively “calm” market years. We find that the autocorrelation between overnight and intraday returns persisted among smaller stocks, but not for the S&P500. Such a relationship is monotonic in nature – the stronger the overnight return, the further the opposite direction of the intraday return tends to be. We also find evidence that the market has indeed become less volatile in recent years, and the market factor plays a more significant role in stock returns.

Original paper – Download PDF

Here you can download the PDF and original paper of Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective.

(An option to download will come shortly)

Author

Ben S. Branch
University of Massachusetts Amherst – Isenberg School of Management

Aixin (James) Ma
Oklahoma City University – Meinders School of Business

Conclusion

In conclusion, this retrospective examination of the interplay between overnight and intraday returns, encompassing a broader timeframe that includes recent, relatively stable market periods, unveils intriguing dynamics. The persistence of autocorrelation between overnight and intraday returns remains pronounced among smaller stocks, though not evident for the S&P500.

This monotonic relationship signifies that a robust overnight return correlates with a subsequent intraday return moving in the opposite direction. Additionally, our findings indicate a discernible reduction in market volatility in recent years, highlighting an evolving landscape.

The heightened influence of the market factor on stock returns further underscores the evolving nature of market efficiency and the nuanced dynamics between overnight and intraday movements.

Related Reading:

A Survey of Day of the Month Effect in World Stock Markets

When Buffett Meets Bollinger: An Integrated Approach to Fundamental and Technical Analysis

FAQ

Q1: What is the main focus of the research article, “Overnight Return, the Invisible Hand Behind The Intraday Return? A Retrospective”?

The research article delves into the relationship between overnight and intraday returns in financial markets, extending its analysis to recent, ostensibly calm market years. The study explores the autocorrelation between these returns, particularly focusing on smaller stocks, and examines the monotonic nature of this relationship. Additionally, the research investigates changes in market volatility over time and the evolving role of the market factor in stock returns.

Q2: What is the key finding regarding the autocorrelation between overnight and intraday returns?

The study reveals that the autocorrelation between overnight and intraday returns persists among smaller stocks but is not evident for the S&P500. The relationship is described as monotonic, indicating that the strength of overnight returns influences a corresponding directional shift in intraday returns.

Q3: What insights does the research offer regarding market volatility and the market factor in recent years?

The research provides evidence of a reduction in market volatility in recent years. Additionally, it suggests that the market factor plays a more significant role in stock returns, indicating an evolving landscape in terms of market efficiency and the dynamics between overnight and intraday movements.

Check The Leading Resource On The Internet For Research And Academic Papers

Leave a Reply

{"email":"Email address invalid","url":"Website address invalid","required":"Required field missing"}

Monthly Trading Strategy Club

$42 Per Strategy

>

Login to Your Account



Signup Here
Lost Password