• Journal of the Korean Data and Information Science Society
• /
• v.28 no.4
• /
• pp.819-829
• /
• 2017

The aim of this study is to analyze intraday price momentum. When price trends are formed, price momentum is the phenomenon that future prices tend to follow the trend. When the market opened and closed, a U-shaped trading volume pattern in which the trading volume was concentrated was observed. In this paper, we defined price momentum as the 10 minute trend after market opening is maintained until the end of market. The strategy is to determine buying and selling in accordance with the price change in the initial 10 minutes and liquidating at closing price. In this study, the strategy was empirically analyzed by using minute data, and it showed effectiveness, indicating the presence of an intraday price momentum. A pattern in which returns are increasing at an early stage is called a J-shaped pattern. If the J-shaped pattern occurs, we have found that the price momentum phenomenon tends to be stronger than otherwise. The DTW algorithm, which is well known in the field of pattern recognition, was used for J-shaped pattern recognition and the algorithm was effective in predicting intraday price movements. This study showed that intraday price momentum exists in the KOSPI200 futures market.

• Asia-Pacific Journal of Business
• /
• v.11 no.4
• /
• pp.243-254
• /
• 2020

Purpose - This paper explores whether overnight returns measured from the last closing price to today's opening price explain the cross-section of stock returns. Design/methodology/approach - This study is conducted using the Korean stock market data from 1998 to 2018, obtained from DataGuide database. The analysis begins with portfolio-level tests, followed by firm-level cross-sectional regressions. Findings - First, when decile portfolios sorted on the daily average of overnight returns in the previous months, the highest decile portfolio exhibits a significant negative risk-adjusted return. This suggests that stocks with higher average overnight returns are temporarily overvalued due to buying pressure from investors. Second, at least 6 months of persistence exists in average overnight returns, which is in line with the results reported by Barber, Odean and Zhu (2009) that investor sentiment persists over several weeks. Finally, Fama-MacBeth cross-sectional regression of expected returns after controlling for a variety of firm characteristic variables such as firm size, book-to-market ratio, market beta, momentum, liquidity, short-term reversal, the slope coefficient for overnight returns remains negative and statistically significant. Research implications or Originality - Overall, the evidence consistently suggests that overnight return is considered as a new priced factor in the cross-section of expected returns. The findings of this paper not only adds to finance literature, but also could be useful to practitioners in making stock investment decision.