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Overnight information and anomalies

Author

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  • Xie, Jun
  • Xia, Wenqian
  • Gao, Bin

Abstract

We explore the connections between the U.S. market and overnight anomalies in China's A-share market to test whether overnight information influences overnight anomalies. By univariate and bivariate portfolio analysis, panel regression and Fama-Macbeth regression, we find that overnight anomalies in China's A-share market can persist for up to 1, 3, 6, and 12 months. Furthermore, the impact of overnight overall information measured in terms of U.S. stock returns on overnight anomalies in China's A-share is asymmetric with a weaker negative correlation between overnight returns and subsequent intraday returns, while the positive correlation between overnight returns and future overnight returns is unaffected. Conversely, irrational information measured in terms of U.S. stock sentiment weakens the negative correlation between overnight returns and future intraday returns and significantly reinforces the positive correlation between overnight returns and future overnight returns.

Suggested Citation

  • Xie, Jun & Xia, Wenqian & Gao, Bin, 2025. "Overnight information and anomalies," Research in International Business and Finance, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002752
    DOI: 10.1016/j.ribaf.2025.103019
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    Keywords

    Overnight returns; Intraday returns; U.S. investor sentiment; U.S. stock returns;
    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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