Open Access. Powered by Scholars. Published by Universities.®
Physical Sciences and Mathematics Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Physical Sciences and Mathematics
Dynamic Overnight Effect On Next Day Stock Market Forecasting, Thomas J. Lee
Dynamic Overnight Effect On Next Day Stock Market Forecasting, Thomas J. Lee
Graduate Research Theses & Dissertations
Using a cross section of stocks that have high frequency trading data from 2007 to 2018, we document whether various intraday momentum patterns found in the financial literature over the years continue to hold over time. The first half hour return on the market is often seen as having predictive power over the last half hour of trading, or overnight returns are thought to reverse in the next day's first half hour of trading. We find that while there is some evidence for these patterns, especially in the earlier years, these patterns tend to weaken over time as investors take …