本文顯示個股的隔夜價格反轉現象，亦即股價在開盤時被高（低）估並於隨後反轉修正之現象，可被流動性所解釋。作者以個股日、夜報酬的Pearson相關係數（即「日夜報酬相關係數」）來衡量隔夜價格反轉之程度。2004至2013年間所有美國普通股的日夜報酬相關係數，被依據流動性的高低分為十組。作者發現：複合流動性量尺可以捕捉日夜報酬相關係數高達51.6%的變化範圍。其中流動性最差的該組股票具有最低的平均日夜報酬相關係數-0.367，而流動性最佳的該組平均值則非常接近零。再者，日報酬的波動率與偏度對日夜報酬相關係數僅帶來小且非單調的影響。上述結果顯示：為了更加有效的管理隔夜風險，交易策略必須將個股流動性納入考慮。針對低流動性的股票，投資人應避免在開盤時執行與隔夜報酬同方向之操作。

This article shows that the overnight price reversal phenomenon, namely stock overpricing at daily market open followed by price reversal, of individual stocks can be effectively explained by liquidity. I measure the degree of price reversal in terms of “overnight (return) correlation,” which is the Pearson correlation coefficient of daytime and overnight returns. Overnight correlations of all U.S. common stocks from 2004 to 2013 are grouped into deciles using liquidity measures. I find the composite liquidity measure best captures the variations in overnight correlation at up to 51.6% of the overall range. The most illiquid decile of stocks bears the lowest average overnight correlation down to -0.367 while that of the most liquid decile is very close to zero. Moreover, volatility and skewness of daily returns bring only small and non-monotonic impact to overnight correlation. The above findings show that the liquidity of individual stocks must be taken into account for trading strategies in order to better manage overnight risk. In particular, investors must avoid trading illiquid stocks at market open in the same direction of overnight returns.

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