We document a puzzling phenomenon, namely that overnight returns in Chinese stock markets are on average statistically and economically significantly negative. This finding seems to violate conventional asset pricing theory, yet the anomaly is robust to the choice of stock exchange, type of...

This paper reinvestigates the predictability of equity market index returns of Chinese Shanghai Stock Exchange Composite index (SSEC) using the changes in oil prices. We find significant oil effect on the predictability of SSEC returns after the year 2003. The effect can neither be explained by...

By decomposing stock returns with high-low extreme values, this paper investigates the predictability of Chinese stock market with a vector autoregressive model. Empirical studies, both in-sample and out-of-sample, performed on the Shanghai Stock Exchange Composite Index (SSEC) show that the...