Overnight returns of stock indexes: Evidence from ETFs and futures ☆
作者： Qingfu Liu , Yiuman Tse
DOI: 10.1016/J.IREF.2017.01.005
关键词:
摘要: Abstract During the period 1999–2014, overnight returns of US exchange-traded index funds and most international futures are significantly positive, while during trading hours negative. The volatility is lower than volatility. Estimating value at risk expected shortfall by incorporating daytime into a joint distribution with copula method, we find that contribution substantially higher nontrading hours. results not consistent usual risk-return tradeoff. For ETF markets, also show can forecast both in-sample out-of-sample first half-hour (with negative relation) last positive
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