We find a negative relationship between overnight and daytime returns on the Korean equity market. Overnight returns are positively (negatively) and nonlinearly associated with subsequent daytime returns when the overnight news is relatively good (bad). Trades by individual investors respond negatively to overnight returns, whereas those by domestic and foreign institutional investors exhibit positive-feedback trading behavior. Our findings challenge the conventional presumption about investors’ responses to overnight returns.

中文翻译：

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投资者对隔夜回报有何反应？来自韩国的证据


我们发现韩国股市的隔夜回报率和日间回报率之间存在负相关关系。当隔夜消息相对好（坏）时，隔夜回报与随后的日间回报呈正（负）非线性关系。个人投资者的交易对隔夜收益负反馈，而国内外机构投资者的交易则表现出正反馈的交易行为。我们的研究结果挑战了关于投资者对隔夜回报反应的传统假设。