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Stats › Intraday and market microstructure › Overnight momentum

Time series momentum in index futures happened entirely while the market was closed

Overnight raw, t = 2.67: 1.10%+1.10%Overnightraw, t = 2.67Overnight alpha, t = 3.24: 1.40%+1.40%Overnightalpha, t = 3.24Intraday raw, t = -0.78: -0.29%-0.29%Intradayraw, t = -0.78Intraday alpha, t = -0.24: -0.10%-0.10%Intradayalpha, t = -0.24

Monthly returns to a time series momentum strategy on 22 equity index futures, 1996 to 2016, split into the overnight and intraday components. The contracts include the AEX, CAC 40, DAX, FTSE 100, SMI, FTSE MIB, IBEX 35 and EuroStoxx 50 alongside non-European contracts. Neither intraday figure is significantly different from zero.

Across twenty two equity index futures, time series momentum earned 1.10% a month overnight with a t statistic of 2.67 and minus 0.29% intraday with a t statistic of minus 0.78. On these measurements the effect occurs entirely while the market is closed.

1.10% a monthOvernight time series momentum return, 22 index futures
1.40% a monthIts market model alpha, t = 3.24
-0.29% a monthThe intraday leg, t = -0.78
-0.10% a monthIts market model alpha, t = -0.24

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