Day and night returns internationally
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Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
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Author
Date
2021
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
17
Series
Abstract
This thesis provides additional evidence for the existence of an overnight effect on daily stock returns. Open-to-close and close-to-open returns are studied in markets that have had little research done so far in literature. The study was done using data from exchange traded funds from the studied markets, with data from years between 2002 and 2021. Consistent with existing literature, such as Hendershott et al. (2020), the market betas of close-to-open returns are a better explainer of returns than betas of open-to-close returns, although the results are not as robust as in said study. A review of possible reasons the existence of this effect, as well as a possible investment strategy benefitting from this discrepancy, is done.Description
Thesis advisor
Joenväärä, JuhaKeywords
day-night, overnight returns, day trading, risk premium, market efficiency
