Overnight Return on the Norwegian Stock Exchange A study of 15 stocks with the highest turnover over the period of 2003 to2014 on Oslo Stock Exchange.

Abstract

In this thesis we decompose the close-to-close return into overnight and intraday returns for the 15 most traded stocks on Oslo Stock Exchange over the period of 2003 to 2014. By analyzing the stocks individually and in an equally weighted portfolio we find the return of non-trading hours consistently higher than the trading hours. This holds across all weekdays, monthly and yearly measures as well the sub-periods of 2003 to 2008 and 2009 to 2014. We find the overnight and intraday having a negative relationship, where the returns tend to move in opposite directions. From the first to the second sub-period we discover large difference in the amount of overnight and intraday return. We argue possible causes being: the presence of semiprofessional day traders; illiquidity premium; change in the risk-reward. The true return of the weekend, the overnight on Monday, is found positive while an exceeding amount of intraday is the one contributing to the overall negative weekend return. This adds new view to previous studies on the Weekend Effect (French, 1980). JEL classification codes: G10, G12, G14