I'm looking for studies with statistics on the behavior of stocks that gap up and down. For example, what percent of them fill the gap, what percent of gap up/down stocks have a green/red day? What are some characteristics that may influence the behavior of these gappers?

Anyone with personal knowledge to share or links to credible sources of information on this topic would be greatly appreciated!

I set up some studies dealing with that recently using Excel VBA.



The table shows natural log returns YTD for 6 ETFs.

CC = close to close
CO = close to open
OC = open to close

With natural logs: CO + OC = CC

TRet is the sum of the returns in the row. Positive numbers are good, bigger numbers are better, negative numbers are bad.

The 4th row shows how things worked out if you buy and hold OC when CO is negative
The 5th row is buy and hold OC if CO is positive

It is better to buy when CO is positive but it is much better to buy CO and sell at the open. This has been the case for quite a few years now I think.

The gap fill percent is probably pretty good but your question about it is not clear. Generally, I think a gap play is for the first half hour or hour after the open. Anyway I analyze daily data.

semiopen 

The gap fill percent is probably pretty good but your question about it is not clear. Generally, I think a gap play is for the first half hour or hour after the open. Anyway I analyze daily data.

Thanks for the information! To clarify, I'm looking for data to inform my day trades at the market open, just as you said- the first half hour to an hour of the day. For example, if a stock is gapping up on good news, what are the chances of it going green at the open as opposed to red? What about if it's gapping down? What are the factors that influence this? Etc.