We wish to thank Arnie Cowan (the editor) and two anonymous reviewers for valuable suggestions.
Price Movements, Information, and Liquidity in the Night Trading Market
Version of Record online: 10 JAN 2006
Volume 41, Issue 1, pages 119–137, February 2006
How to Cite
Giannetti, A., Larson, S. J., Lee, C. I. and Madura, J. (2006), Price Movements, Information, and Liquidity in the Night Trading Market. Financial Review, 41: 119–137. doi: 10.1111/j.1540-6288.2006.00136.x
- Issue online: 10 JAN 2006
- Version of Record online: 10 JAN 2006
- market efficiency;
- night trading;
- night session;
- extreme price movements;
Forward Links to Citing Articles Erratum. The Financial Review 41: 2, 305. Online publication date: 11-Apr-2006.
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.