Overnight Return, the Invisible Hand Behind Intraday Returns?

An efficient market (weak form) will contain no significant price pattern, a view supported by numerous empirical studies. Ben Branch and Aixin (James) Ma, however, reveal a very strong negative autocorrelation between overnight and intraday returns, regardless of sampling method or the methodology in use.

Image courtesy of interviewee

Read the Study
Log-in or Sign-up to Faculti
Currently viewing this subject insight as a guest. You have insight(s) remaining for this month.

Leave a Reply

Your email address will not be published.

Copyright © Faculti Media Limited 2013 - 2024. All rights reserved.
error: