Market Return Around the Clock: A Puzzle
研究利用全天交易的E-mini标普500期货，发现欧洲开盘前后4小时贡献了全部平均市场回报，夏普比率达1.6，而其余20小时回报近乎零，这与欧洲投资者处理隔夜信息、消除不确定性有关，2020年新冠危机期间效应更强。
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.