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Dynamic Overnight Effect on Next Day Stock Market Forecasting.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Dynamic Overnight Effect on Next Day Stock Market Forecasting./
作者:	Lee, Thomas J.
面頁冊數:	1 online resource (124 pages)
附註:	Source: Masters Abstracts International, Volume: 84-12.
Contained By:	Masters Abstracts International84-12.
標題:	Statistics. -
電子資源:	click for full text (PQDT)
ISBN:	9798379724719

Dynamic Overnight Effect on Next Day Stock Market Forecasting.
Lee, Thomas J.

Dynamic Overnight Effect on Next Day Stock Market Forecasting. - 1 online resource (124 pages)

Source: Masters Abstracts International, Volume: 84-12.

Thesis (M.S.)--Northern Illinois University, 2023.

Includes bibliographical references

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 advantage of these opportunities. However, overnight returns still seem to have a predictable reversal in the first half hour of trading, even in later years.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379724719Subjects--Topical Terms:

556824
Statistics.
Subjects--Index Terms:

High frequency tradingIndex Terms--Genre/Form:

554714
Electronic books.

Dynamic Overnight Effect on Next Day Stock Market Forecasting.
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500 $a Source: Masters Abstracts International, Volume: 84-12.
500 $a Advisor: Hua, Lei.
502 $a Thesis (M.S.)--Northern Illinois University, 2023.
504 $a Includes bibliographical references
520 $a 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 advantage of these opportunities. However, overnight returns still seem to have a predictable reversal in the first half hour of trading, even in later years.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Statistics. $3 556824
650 4 $a Finance. $3 559073
653 $a High frequency trading
653 $a Intraday
653 $a Stocks
653 $a Financial literature
653 $a Trading
653 $a Investors
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690 $a 0463
690 $a 0508
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710 2 $a Northern Illinois University. $b Statistics and Actuarial Science. $3 1468091
773 0 $t Masters Abstracts International $g 84-12.
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