Overnight returns of stock indexes: Evidence from ETFs and futures

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• 作者：Qingfu Liu^a ; Yiuman Tse^b ; ^{tseyi@umsl.edu}
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：48
• 期：Complete
• 页码：440-451
• 全文大小：287 K
• 卷排序：48

文摘

Overnight returns of US ETFs and international index futures are significantly positive. Overnight returns have lower volatility and tail risk than daytime returns. The VaR and ES of the daytime and overnight returns are estimated with a copula. For the US markets, overnight returns can forecast the first- and last-half-hour returns.