Overnight Returns, Trading Volume Changes And Intraday Trading Periods Returns

Since the 1960s, the efficient market hypothesis has been put forward and improved, and asset price volatility has always been regarded resulting from the outside information. But with a growing number of unusual volatilities emerging in Securities market, and asset prices in the absence of information also have unusual volatility, making EMH insufficient to explain the theory of asset price volatility. With the rise of behavioral finance, it was discovered that non-rational behavior of investors also led to the unusual volatility of the asset price .Thus , the reason for asset prices volatility not only include the outside information , but also the investors' trade practices.The fluctuation of asset prices has always been an important research direction for Financial Economics. Being the basis for pricing the financial derivative products, it can be of great importance both in the research of market microstructure and the research of investors' behaviors. As representative of a new emerging market, Chinese inland stock market is inevitably characterized by the emerging stock market, i.e. stock prices tend to fluctuate much more violently than in a mature market. Meanwhile, Chinese inland stock market also tends to be influenced increasingly by the international market since it has become an integral part of economic globalization system. The immaturity of Chinese inland investment philosophies caused some misbehaviors by the investors, either overconfident in bull cycle or over pessimistic in bear cycle, which led to some different volatility features in the Chinese inland stock market.Based on the information and trade factor which affect Asset Price volatility, this paper analyzed returns during trading periods and non-trading periods, and compared with the Hong Kong market. The research shows that: returns during the non-trading periods in China's A-share market is liable to be affected by lagged information; due to the smaller market access, the peripheral market information will not have a strong impact on the A-share market, so A-share stock market's overnight returns volatility is relatively smaller. During trading periods, returns volatility of A share market is greater than the Hongkong's, probably because of the higher correlation between A share market's trading returns and volume change than Hongkong's; Owing to overnight information, change of volume had an asymmetrical effect on trading periods returns, but it is not remarkable in bull cycle.