S&P 500 Index, Day Returns and Night Returns of Korean Stock, and Their Relationship

This study investigates whether overnight information can affect close-to-open returns and open-to-close returns differently. S&P 500 index returns are employed as overnight information. First, this study finds a significant difference between open-to-close return and close-to-open return variances. The second finding is that the close-to-open returns (Ct-1Ot) of Korea stocks are positively associated with yesterday S&P 500 index returns. On the contrary, the negative correlation appears between yesterday S&P 500 index returns and open-to-close returns (OtCt). The third finding is that as foreign investor ownership increases the impact of S&P 500 index on close-to-open returns is enforced, whether it is positive or negative. Stocks not being owned by foreign investors too respond negatively to the returns of S&P 500 indexes during a daytime and positively during overnight. This response can be understood by the comovement of asset price.