Beta Coefficient And Stock Day And Night Returns

CAPM model is the pillar of modern financial market price theory.However,previous empirical studies have found that the prerequisite assumption for the establishment of the CAPM model is difficult to satisfy in reality,so there is almost no correlation between the beta coefficient of stocks and expected returns on a crosssection.This article takes into account the opening and closing periods of the Ashare market and the stock trading system,and analyzes the reasons for the insufficient applicability of the CAPM model in the A-share market from a new perspective.This article finds that the sensitivity of stock returns to beta coefficients is not the same when the market is open or closed for trading.Unlike other countries’ stock markets,the higher the beta value of A-share stocks,the higher the intraday yield and the lower the overnight yield.The slope of the SML curve between day and night is completely opposite.In response to the above phenomenon,this article believes that this is due to the T+1 trading system in the A-share market,which has an impact on the shortterm trading behavior of risk preference investors during the call auction period before the opening of the trading day,pulling down the opening price of high beta stocks,thereby affecting the day and night returns of stocks and the securities market line.This article uses a series of empirical methods to prove the above viewpoint.Through combination analysis and Fama Mac Beth method,this article proves that the beta value of A-share stocks is negatively correlated with overnight returns and positively correlated with intraday returns.In addition,this paper uses Hong Kong stocks as a comparison to confirm that the relationship between the beta value of the H-share market and the stock day and night return rate is completely different from that of the A-share market.At the same time,by studying high-frequency data samples of stock trading time points during the trading day,this article found that the impact of beta values on day and night returns comes from the call auction stage before the opening of the trading day.During this period,investors often tend to place low selling orders to sell high-risk high beta stocks,which lowers the opening prices of these stocks and leads to negative overnight returns.During the continuous bidding period after the opening of the market,the returns of high beta stocks undergo a reversal,and stocks with higher beta values experience a faster increase in intraday returns.Therefore,the slope of the intraday SML curve is greater than zero,and the beta value shows a significant positive correlation with the intraday yield.Research on B-shares has found that the relationship between beta value and day and night returns is related to the trading system of the stock market.Under the T+1 system,if a high beta stock has a low yield on the previous trading day,shortterm traders often sell the stock before the opening of the next trading day,thereby lowering the opening price of the high beta stock,resulting in a negative overnight yield and an increase in the diurnal yield gap of the stock.In addition to systematic risk factor,the level of idiosyncratic risk of stocks will also affect the day and night returns of stocks.Overnight returns may be associated with a variety of risk factor.However,the research on the above two risk factor in this paper is limited to overnight returns in consecutive trading days,and the explanation of overnight returns over holidays is relatively weak.From the perspective of stock markets around the world,there are relatively few markets that implement the T+1 system,and there may be only one market with a negative correlation between beta values and overnight returns.Therefore,taking the A-share market as the research object is beneficial for us to deepen our understanding of the adaptability of the CAPM model,deepen our understanding of the day and night returns of the A-share market,and thus promote future policy adjustments in the A-share market towards a more efficient direction.