Alina Khay

Alina Khay

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Alina Khay
Alina Khay
A Comparative Analysis of Overnight Trading Strategy in Financial Markets

A Comparative Analysis of Overnight Trading Strategy in Financial Markets

Financial markets operate within a complex framework of periodic closures, typically occurring overnight and during weekends.

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Alina Khay
Apr 23, 2024
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Alina Khay
Alina Khay
A Comparative Analysis of Overnight Trading Strategy in Financial Markets
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Financial markets operate within a complex framework of periodic closures, typically occurring overnight and during weekends. These closures have a significant impact on trading conditions, influencing liquidity, volatility, and price movements. This article explores the hypothesis, theory, and empirical results of a sophisticated trading strategy known as the "overnight-intraday reversal" strategy. By purchasing securities with low past overnight returns and selling those with high past overnight returns, this strategy has demonstrated its ability to generate substantial intraday returns across various asset classes. This performance surpassed that of conventional reversal strategies, marking a notable advancement in trading methodologies.

Theoretical Framework

The overnight-intraday reversal strategy involves buying securities that had low overnight returns and selling those that had high overnight returns, aiming to capitalize on the subsequent intraday returns. This strategy has bee…

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