Discussion Paper
The Overnight Drift in U.S. Equity Returns
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);
JEL Classification: G1;
Access Documents
File(s):
File format is text/html
https://libertystreeteconomics.newyorkfed.org/2021/05/the-overnight-drift-in-us-equity-returns.html
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2021-05-26
Number: 20210526