Negative Overnight Returns: China's Security Markets

摘要

We find that there exist statistically significant negative overnight returns in China's security markets, which is totally different from the previous research on HS300 Index by He et al. (2013), and the negative overnight returns are comparatively larger in China's GEM (Growth Enterprise Market) board and SME (Small and Medium Enterprise) board than in the mainboards of Shanghai and Shenzhen security markets. We also find some of the SWS Primary Sectors have negative overnight returns after ticking out of market effects, which can be a great guide for investing in hedging portfolios of specific sectors.