Overnight Returns and Daytime Reversals: Evidence From China's Convertible Bond Market
研究中国可转债市场隔夜正收益与日内反转的持续动态，提出极端高价比例指标作为非知情交易需求的代理变量，发现其对隔夜收益有正向预测力、对日内收益有负向预测力。
ABSTRACT This study documents the persistent dynamics of positive overnight returns followed by daytime reversals in China's convertible bond market. We propose a novel attention‐grabbing measure, the extreme high price ratio (), defined as the ratio of the day's extreme high price to the closing price. This measure serves as a proxy for uninformed trading demand at the market open. Using high‐frequency data, we find that exhibits strong positive predictability for overnight returns and negative predictability for daytime returns. This pattern persists after controlling for alternative attention proxies, fundamental return drivers, and macroeconomic news releases. The results remain robust to a comprehensive set of tests. Our findings are consistent with the hypothesis that attention‐driven uninformed trading plays a crucial role in shaping intraday price dynamics in China's convertible bond market.