Using a unique intraday trade and quote data set of the Korea Stock Exchange which includes customized symbols identifying individual accounts, we investigate the overnight strategy of foreign day-traders to determine the factors that affect their overnight positions and their informational advantage in day-trading. We find that the overnight positions of foreign day-traders are likely to capture positive future stock movements, indicating that foreign day-traders are better informed than domestic ones even on extremely short term investment horizon. We also find that foreign day-traders consider currency movements in their decisions on overnight positions and benefit from appreciation in the KRW holding Korean stocks overnight, whereas domestic day-traders do not.
Keywords: Day-traders, Overnight position, Foreign investors, Momentum trading, Disposition effect
JEL classification: G10;G14;G15
