The Overnight Drift in U.S. Equity Returns

Nina Boyarchenko, Lars C. Larsen () and Paul Whelan ()

No 20210526, Liberty Street Economics from Federal Reserve Bank of New York

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.

Keywords: overnight drift; inventory risk management; daylight savings time (DST) (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2021-05-26
New Economics Papers: this item is included in nep-cwa, nep-fmk, nep-mst and nep-ore
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