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.
Yang et al. (Mon,) studied this question.