Just about all the gains in stock index futures occur overnight, it's pretty simple folks.
The Overnight Drift Higher In Index Futures
- Thread starter Roman Candle
- Start date
Oh look the stock index futures are rising already.
Ah yes, nothing like making money while you sleep
Index futures do not rise every night.
4 out of 5 days ain't bad.
You posted 3 out of 5, not 4 out of 5. What was the net out of the 5?
A study about the "The Overnight Drift" here.
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr917.pdf
Abstract
This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive, economically large, and highly statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive “overnight drift” returns, we uncover an asymmetric reaction to demand shocks: market selloffs generate robust positive overnight reversals, while reversals following market rallies are much more modest. We argue that demand shock asymmetry can arise in inventory management models with time-varying dealer risk bearing capacity.
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr917.pdf
Abstract
This paper documents that U.S. equity returns are large and positive during the opening hours of European markets. These returns are pervasive, economically large, and highly statistically significant. Consistent with models of inventory risk, we demonstrate a strong relationship with order imbalances at the close of the preceding U.S. trading day. Rationalizing unconditionally positive “overnight drift” returns, we uncover an asymmetric reaction to demand shocks: market selloffs generate robust positive overnight reversals, while reversals following market rallies are much more modest. We argue that demand shock asymmetry can arise in inventory management models with time-varying dealer risk bearing capacity.
Oh look the stock index futures are rising overnight.
There are only so many futures contracts. Order imbalances are not as likely as in equities. Equities do not trade 24 hours a day on US exchanges, therefore I don't think the overnight drift higher is due to order imbalances of stock index futures.
Oh look the stock index futures are up overnight,,,,SHOCKER!
