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Day-night anomaly returns in China: The role of institutions

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  • Qiu, Jiayan
  • Huang, Wei
  • Jiang, Ying

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.

Suggested Citation

  • Qiu, Jiayan & Huang, Wei & Jiang, Ying, 2025. "Day-night anomaly returns in China: The role of institutions," Research in International Business and Finance, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000327
    DOI: 10.1016/j.ribaf.2025.102776
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    More about this item

    Keywords

    Overnight returns; Intraday returns; Decomposition; Trading strategies;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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