The mean-variance relation: A story of night and day
研究发现全球市场隔夜呈现正均值-方差关系，而日内呈现负关系，且不同市场存在显著差异，文化、市场诚信和发展水平是驱动因素。
The traditional financial framework theorizes a positive mean-variance relation, which, however, is not fully supported by empirical evidence. We provide a new explanation for the weak mean-variance relation by separately testing the relation overnight and intraday. Results at the global level present a positive mean-variance relation overnight but a negative relation intraday, while results of individual markets reveal a high degree of heterogeneity. We employ cultural dimensions, market integrity, and market development to examine the drivers of the observed cross-market differences, showing that all the three factors influence the mean-variance relation, and notably, the influence varies across night and day.