Abstract
Investors' behavior and news or events occurring during the market closure affect open price variation. For these reasons, daytime and overnight returns and volatilities move differently. In light of these effects, it is natural to ask whether systematic risk varies between trading and non-trading periods. We answer this question by evaluating the US stocks’ beta from 1992 to 2020. Computing daily, daytime, and overnight betas using a proper market index for each trading period, we show how market risk varies over time and is influenced by market shocks. We observe a high overnight risk concentrated within small and large stocks. We find that daytime systematic risk is generally higher, especially between 2001 and 2019. Furthermore, we show how the outbreak of the Covid-19 pandemic led to an increase in overnight risk implying that US stocks became more sensitive to the market closure.
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