Nonparametric research on the relationship between intraday movement and overnight gap of stock indices

This paper adopts the method of nonparametric statistic analysis to conduct a research on the relationship between the overnight gap and intraday movement of stock indices.The daily trading data of 7 stock markets around the world were processed and analyzed through basic statistic analysis,scattering diagram and the function figure based on R software.The analysis result shows that there is a relationship between overnight gap and intraday movement,and the relation is different with the stock market.Taking Shanghai composite index analysis data as an example,it is found that the percentage gap area as the gap and change fits better by asymptotic and Bootstrap confidence band analysis.And a profitable trading strategy based on stocks overnight gap was proposed according to the relationship between gap and change in the percentage gap interval.This also demonstrates that technical analysis is efficient to guide the stocks investment.