A Research On Impacts Of Overnight Information On China’s Growth Enterprise Market

The dissemination and diffusion of information is the inherent motivation of fluctuation. Due to the trading time is very short, a lot of information accumulated during the inactive time, called overnight information. On one hand, the main source of information, for example government and listed companies, prefer publishing information at the inactive time, on the other hand, masses of information forms international capital markets spread to china after Chinese stock market closed. Therefore, the study of overnight information is necessary and of great significance.Since the1960s, the efficient market hypothesis has been put forward and improved, and stock price volatilities resulting from the outside information. But with a growing number of unusual volatilities emerging in stock market, and stock prices in the absence of information also have unusual volatility, making ENH insufficient to explain the theory of stock 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 stock price. Thus, the reason for stock prices volatility not only include the outside information, but also the investors’ trade practices.Based on the information and trade factor which affect stock price volatility, this paper analyzed returns during trading periods and non-trading periods in the Growth enterprise market(GEM), and compared with the main board market. The research shows that:returns during the non-trading periods in China’s GEM is liable to be affected by lagged information; During trading periods, returns volatility of GEM is greater than the main board market’s, probably because of the higher correlation between GEM’s trading returns and volume change than main board market’s; this paper analyzed how overnight information affect the GEM’s trading returns by the GARCH model. The research shows that:overnight information affects the GEM’s trading returns for two hours, showing that the stock prices in the GEM does not reflect the overnight information until two hours later.