A Research On Impacts Of Overnight Information On Chinese Stock Market

The proliferation and disclosure of information is the inherent motivation of the stock market, however lots of the information is accumulated in the inactive time, and here we call them the overnight information. Especially in the current context of global economic integration, the world capital markets are closely related, then they will make a consistent response to the global macro-economic information and even some micro-economic information. Therefore mining the overnight information and being quantified by mathematical tools to study the predictive ability of the Chinese stock market, there will be a far-reaching significance to get a deep understanding of our stock market.Based on the Efficient Market Hypothesis(EMH) and combined with the microstructure theory of securities market, we make a theoretical analysis and empirical research to evaluate the effects of the overnight information on the stock market volatility and expected returns. Firstly, we apply a symmetric SV model which is based on the overnight information to analyze impacts of the overnight information on our stock markets. Secondly, the different types of overnight information will arise different impact, we take the asymmetric effects of the stock market into account, and then build an asymmetric SV model based on the overnight information to analysis the different types of overnight information on the Chinese stock market. Finally, based on the behavioral finance theory, investors will make different reaction to the same news under different market conditions, thus we apply the asymmetric SV model based on the overnight information to study the up cycle and down cycle.The empirical analysis shows that the overnight information has predictive ability on the Chinese stock market, through comparative analysis we find that the overnight information has a greater predictive power in the Hong Kong stock market. This is mainly because the transparency of information disclosure is not high, there is too much noise trading, and the mainland stock market is not open enough. Impact of information on the mainland and Hong Kong stock market volatility shows a "leverage effect". We find that there will be a greater asymmetry when the stock market is on the down cycle, especially in the mainland stock market, which is due to the lack of effective short mechanism, and it is related to the fact that investors will make overreaction to the bad news when the stock market is on the down cycle.