The Overnight Drift in U.S. Equity Returns

Nina Boyarchenko, Lars C. Larsen, Paul Whelan

Research output: Other contributionNet publication - Internet publicationCommunication


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 languageEnglish
Publication date26 May 2021
Place of PublicationNew York
PublisherFederal Reserve Bank of New York
Publication statusPublished - 26 May 2021

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