Very interesting news here. As I said many thousands of times before, money never sleeps so why should wallstreet. Time for a 24/7 market. Enough of these 6.5 hr trading days. This is 2021 now 1947.
The professors analyzed tick-by-tick trade data for S&P 500 E-mini futures between 2004 and 2018. Crucially, their data reflected trades outside the normal trading hours in which the NYSE is open. They therefore were able to measure the proportion of the stock market’s return since 2004 that was produced while the NYSE was closed.
The chart below illustrates what they found: Over the study period, all of the S&P 500’s net return was produced between 11:30 p.m. and 3:30 a.m. (Eastern time), during which its average return was 7.6% annualized. On average the rest of the time, the market produced a 0.8% annualized loss.
Why should this overnight pattern exist?
Muravyev said he believes that the primary cause of this night-versus-day pattern traces to the stock market’s reaction to uncertainty. He and his co-author obtained tick-by-tick histories for CBOE Volatility Index VIX futures (VIX), and found that they and the E-mini S&P futures are inversely correlated. That is, the VIX on average tends to fall significantly beginning at around 11:30 p.m. Eastern time, right around when the S&P 500 futures start rising.
This inverse relationship between the stock market and the VIX makes theoretical sense, of course. Investors react negatively to increases in uncertainty, just as they tend to react positively when volatility falls.
But why should uncertainty fall around 11:30 p.m.? Muravyev said that’s when European investors begin to make trades in their portfolios, and their collective actions help to reduce the uncertainty that has built up since the NYSE closed the previous trading day.
https://www-marketwatch-com.cdn.ampproject.org/v/s/www.marketwatch.com/amp/story/how-to-make-money-from-stocks-while-you-sleep-11617430187?amp_gsa=1&_js_v=a6&usqp=mq331AQFKAGwASA=#amp_tf=From %1$s&aoh=16175928451731&csi=0&referrer=https://www.google.com&share=https://www.marketwatch.com/story/how-to-make-money-from-stocks-while-you-sleep-11617430187
The professors analyzed tick-by-tick trade data for S&P 500 E-mini futures between 2004 and 2018. Crucially, their data reflected trades outside the normal trading hours in which the NYSE is open. They therefore were able to measure the proportion of the stock market’s return since 2004 that was produced while the NYSE was closed.
The chart below illustrates what they found: Over the study period, all of the S&P 500’s net return was produced between 11:30 p.m. and 3:30 a.m. (Eastern time), during which its average return was 7.6% annualized. On average the rest of the time, the market produced a 0.8% annualized loss.
Why should this overnight pattern exist?
Muravyev said he believes that the primary cause of this night-versus-day pattern traces to the stock market’s reaction to uncertainty. He and his co-author obtained tick-by-tick histories for CBOE Volatility Index VIX futures (VIX), and found that they and the E-mini S&P futures are inversely correlated. That is, the VIX on average tends to fall significantly beginning at around 11:30 p.m. Eastern time, right around when the S&P 500 futures start rising.
This inverse relationship between the stock market and the VIX makes theoretical sense, of course. Investors react negatively to increases in uncertainty, just as they tend to react positively when volatility falls.
But why should uncertainty fall around 11:30 p.m.? Muravyev said that’s when European investors begin to make trades in their portfolios, and their collective actions help to reduce the uncertainty that has built up since the NYSE closed the previous trading day.
https://www-marketwatch-com.cdn.ampproject.org/v/s/www.marketwatch.com/amp/story/how-to-make-money-from-stocks-while-you-sleep-11617430187?amp_gsa=1&_js_v=a6&usqp=mq331AQFKAGwASA=#amp_tf=From %1$s&aoh=16175928451731&csi=0&referrer=https://www.google.com&share=https://www.marketwatch.com/story/how-to-make-money-from-stocks-while-you-sleep-11617430187
