Market Return Around the Clock: A Puzzle

Oleg Bondarenko, Dmitriy Muravyev

Research output: Contribution to journalArticlepeer-review

Abstract

We study how the market return depends on the time of the day using E-mini S&P 500 futures actively traded around the clock. Strikingly, 4 hours around European open account for the entire average market return. This period's returns have a 1.6 Sharpe ratio and remain high after transaction costs. Average returns are a noisy zero during the remaining 20 hours. High returns are consistent with European investors processing information accumulated overnight and thus resolving uncertainty. Indeed, uncertainty reflected by VIX futures prices rises overnight and falls around European open. The results are stronger during the 2020 COVID crisis.

Original languageEnglish (US)
Pages (from-to)939-967
Number of pages29
JournalJournal of Financial and Quantitative Analysis
Volume58
Issue number3
DOIs
StatePublished - May 2023
Externally publishedYes

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Fingerprint

Dive into the research topics of 'Market Return Around the Clock: A Puzzle'. Together they form a unique fingerprint.

Cite this