How do investors react to overnight returns? Evidence from Korea

Hyuna Ham, Doojin Ryu*, Robert I. Webb, Jinyoung Yu

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We find a negative relationship between overnight and daytime returns on the Korean equity market. Overnight returns are positively (negatively) and nonlinearly associated with subsequent daytime returns when the overnight news is relatively good (bad). Trades by individual investors respond negatively to overnight returns, whereas those by domestic and foreign institutional investors exhibit positive-feedback trading behavior. Our findings challenge the conventional presumption about investors’ responses to overnight returns.

Original languageEnglish
Article number103779
JournalFinance Research Letters
Volume54
DOIs
Publication statusPublished - Jun 2023
Externally publishedYes

Keywords

  • Daytime reversal
  • Individual investor
  • Institutional investor
  • Korean equity market
  • Overnight return

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