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Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Overnight Anomaly in the Swiss Bond Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 39 |
| Date | 2022 |
| Abstract Text | This paper uses secondary market quotes of bonds part of the Swiss Bond Index in order to study bond intraday (open to close) and overnight (close to open) returns. The study shows that overnight returns over the last decade were positive in almost all cases and a lot more robust to common market factors than intraday returns. This overnight effect also holds for most sectors, maturities and ratings. |
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