An Empirical Study on Overnight Effect and Noon Effect in China Stock Market
研究了股市非交易时段（午间休市和隔夜休市）对沪深两市的影响，发现两市存在稳定显著的隔夜效应，而午间效应仅在某些时期显著且不稳定。
For the time being,most of researches about the of non - trading period information on the stock market are concentrated on the weekend effect and holiday effect,while being lack of other nontrading period.In this paper,we defines the noon effect and overnight effect,then we use overlapping samples and ARMA - GARCH model to study the of afternoon break and evening break on the Shanghai and Shenzhen stock market respectively.Our study shows that there is a stable and significant overnight effect on both Shanghai and Shenzhen stock markets,and there is also significant noon effect in both two exchanges for some periods,but this does not have a sustainable and stable characteristics,which varied by samples of the different period.