WorkIng Paper

A Pond for Small Fish? News and (Retail) Trading After-Hours (2024), with Bei Cui, Arie E. Gozluklu

Abstract:

We explore after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and show their effect on AHT activity and market quality. AHT returns, volatility, and next-day returns reflect the AHT news sentiment. In a difference-in-difference (DiD) setting, we show that scheduled and positive after-hours firm-specific news catches the attention of retail participants. We find weaker evidence of retail traders chasing insider trading news. We use a machine learning method on Robinhood retail popularity to construct a new measure of retail trading activity during AHT. We identify the (buyer-initiated) odd lot trades on the CBOE exchange which offers a platform (EDGX) with retail priority as the main predictor of AHT retail activity. Robinhood AHT extension in 2022 confirms this finding.

Presentation: Society for Financial Studies (SFS) Cavalcade Asia-Pacific Conference, Seoul, South Korea (2024)

Speculative Bubble in Commodity Prices: Case of Agricultural Commodities (2023), with Ibrahim Yagli

Who is the Star of Falling Interest Rates in Türkiye? (2023), with Muhsin Kar