When do they trade? Heterogeneous investors in China

This paper investigates whether different investor clienteles trade at different time of the day in the Chinese stock market. We document a unique overnight and intraday return pattern, which is that negative overnight returns are followed by positive daytime reversals. We find that compared to retail investors, institutions trade more actively around the market opening and closing. More importantly, the results show that stock prices move with institutions’, rather than retail investors’ trades across the day. This suggests that clientele trading time could be a potential explanation for the distinct return pattern observed in the Chinese stock market.