Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, we find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a stylized framework, we propose an alternative explanation:...

What drives intraday reversal? Previous studies of the U.S. market regard short-term reversal as compensation for liquidity provision. However, in this paper, we find that intraday reversal has no significant dependence on stock liquidity for the Chinese market. Hence, based on a stylized...