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

Department of Finance

Federal Reserve Bank of New York

Research output: Other contribution › Net publication - Internet publication › Communication

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.

Original language	English
Publication date	26 May 2021
Place of Publication	New York
Publisher	Federal Reserve Bank of New York
Publication status	Published - 26 May 2021

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title = "The Overnight Drift in U.S. Equity Returns",

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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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