The Overnight Drift in U.S. Equity Returns

Nina Boyarchenko, Lars C. Larsen, Paul Whelan

Publikation: AndetUdgivelser på nettet - Net-publikationFormidling

Abstract

Since the advent of electronic trading in the late 1990s, S&P 500 futures have traded close to 24 hours a day. In this post, which draws on our recent Staff Report, we document that holding U.S. equity futures overnight has earned a large positive return during the opening hours of European markets. The largest positive returns in the 1998–2019 sample have accrued between 2 a.m. and 3 a.m. U.S. Eastern time—the opening of European stock markets—and averaged 3.6 percent on an annualized basis, a phenomenon we call the overnight drift.
OriginalsprogEngelsk
Publikationsdato26 maj 2021
UdgivelsesstedNew York
UdgiverFederal Reserve Bank of New York
StatusUdgivet - 26 maj 2021

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