The Overnight Drift in U.S. Equity Returns

Nina Boyarchenko; Lars C. Larsen; Paul Whelan

The Overnight Drift in U.S. Equity Returns

Nina Boyarchenko
, Lars C. Larsen
, Paul Whelan

Institut for Finansiering

Federal Reserve Bank of New York

Publikation: Andet › Udgivelser på nettet - Net-publikation › Formidling

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.

Originalsprog	Engelsk
Publikationsdato	26 maj 2021
Udgivelsessted	New York
Udgiver	Federal Reserve Bank of New York
Status	Udgivet - 26 maj 2021

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https://libertystreeteconomics.newyorkfed.org/2021/05/the-overnight-drift-in-us-equity-returns/Licens: Ikke-specificeret

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Citationsformater

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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.",

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N2 - 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.

AB - 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.

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