Research / Temporal and seasonal

Overnight versus intraday

The part of a return earned overnight behaves differently from the part earned in the session.

The idea

The part of a return earned overnight and the part earned in the session behave differently and carry different information.

Why it might exist

Different participants are active in each window, and information arrives at different times.

Who is on the other side

Holders who cannot trade overnight, and those who must trade the open.

What would retire it

The split carries no information once the market is removed.