Publicação
Night and daytime effects in US equity exchange-traded fund returns
| datacite.subject.fos | Ciências Sociais | |
| dc.contributor.author | Monteiro, João Dionísio | |
| dc.contributor.author | Manso, José Ramos Pires | |
| dc.date.accessioned | 2026-03-18T12:12:06Z | |
| dc.date.available | 2026-03-18T12:12:06Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | This paper examines average returns over periods when markets are open and when markets are closed using a sample of the four major US equity exchange-traded funds (ETFs) in the period January 1996 to January 2014. First, we examine common day and night effects across ETFs. Second, we examine common day and night effects decomposed by day of the week. In the analysis we use panel data regression models with estimators of the standard errors of the estimated parameters robust to various departures of the least square residuals from independent and identically distributed assumptions. In previous studies (Cliff et al., 2008), it was observed the surprising result that returns during the night period are strongly positive and significant and the night minus day return differences are also pervasively positive and significant. Our results show a marked decrease and the disappearance of the night and day effect from 2006. Results show that in this asset class night returns are no longer consistently higher than the day returns, overall and across days of the week. Another puzzling fact in light of the asset pricing models, already evidenced in previous studies, but which tends to remain, is that the volatility of day returns is significantly higher than the volatility of night returns. | eng |
| dc.identifier.citation | MONTEIRO, José Dionísio ; MANSO, José Ramos Pires (2016) - Night and daytime effects in US equity exchange-traded fund returns. GESTIN. ISSN 1645-2534. Ano 13, nº 13, p. 117-135. | |
| dc.identifier.issn | 1645-2534 | |
| dc.identifier.uri | http://hdl.handle.net/10400.11/10702 | |
| dc.language.iso | eng | |
| dc.peerreviewed | yes | |
| dc.publisher | Escola Superior de Gestão de Idanha-a-Nova | |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Night and daytime effects | |
| dc.subject | Market efficiency | |
| dc.subject | US equity exchange-traded funds | |
| dc.title | Night and daytime effects in US equity exchange-traded fund returns | eng |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 137 | |
| oaire.citation.issue | 13 | |
| oaire.citation.startPage | 117 | |
| oaire.citation.title | GESTIN | |
| oaire.version | http://purl.org/coar/version/c_970fb48d4fbd8a85 |