Analyzing intraday and overnight stock returns with pandas

This paper discusses the contrast between overnight and intraday stock returns. In the paper, we learn that overnight stock returns far outpace returns seen intraday during regular trading hours. In other words, stocks move the most when markets are not open, but when trading is taking place, the net returns seem to be close to zero. The paper claims this is a conspiracy where large hedge funds are manipulating the market. In this article, we will try to recreate the basic results from the article and look at one part of overnight returns that the article doesn’t discuss.

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