研究顯示: 尾盤買，開盤賣的策略大勝

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https://www.nytimes.com/2018/02/ ... -hours-trading.html

One possibility, he said, is that frequent traders laboring under the “illusion of control” believe that they can respond easily to information and events during the day but can’t do so as easily after hours, when there are far fewer market participants and less money, or “liquidity,” involved in trading. “People may be inclined to sell at the market close so they can feel in control of their money overnight,” he said.

There is some evidence that smaller traders are prey to this tendency and tend to sell late in the day — and that some big institutional traders, who are well aware of the day-night gap, tend instead to buy at the close and sell at the open.

Because relatively few people actually trade after the market closes, orders tend to build up overnight, and in a rising market, that will produce an upward price surge when the market opens. But during extended declines, overnight sell orders may cause prices to plummet when the market opens.

If there were no trading costs — possible in a thought experiment but not in the real world — an excellent strategy over the last few decades would have been buying shares at the last possible moment during regular trading hours and selling them methodically at the opening bell every day, Professor Gulen of Purdue said.

While transaction costs make that strategy uneconomical, he said, the concept may still have a certain value. “If you do know that you are going to make a trade on a given day, and you have the ability to choose when you do it, you might be able to take advantage of this pattern — buying late in the day and selling early.” Of course, the pattern doesn’t hold every single day, and you could easily be disappointed.

Part of the gap in returns can probably be explained by the human tendency to panic at bad news, Professor Kelly said. “That panic seems to happen during the day,” he said. “One advantage of nottrading during the day is that you aren’t as likely to participate in panicky selling.”