Over the past few years, we have written extensively on the relationship between returns during the day-session and overnight-session for US equity markets.
For years, stocks were generally flat over longer periods of time during the regular "cash", or day session, but tended to melt up during the overnight hours when liquidity was far lower and when the "pajama trades" come out and play.
The Fed itself noticed in May 2021, and attributed this "overnight drift" to non-US traders sniffing out artificially discounted closing S&P prices and arbitraging them away (albeit with some risk) before the next trading day in the States
