Methodology Lab

Notes on finance and quant research around one question: how what happens while São Paulo sleeps reaches the next Ibovespa opening. We read these studies as food for thought for steadily improving our model.

Up or Down BR · Research notes

Research notes

• October 31, 2026 · 4 min readWhile São Paulo sleeps: what research says about overnight spillovers between marketsTwo classic studies of Tokyo, London and New York show how one market’s session turns up in the next market’s opening, and what that suggests for the Ibovespa open.Hamao (1990) · Lin (1994)
• October 31, 2026 · 3 min readCountry ETFs in New York: why they can overreact while the home market sleepsA study of Asian and European country ETFs finds that, once the home market closes, they track the S&P 500 more than their own stocks, and part of that move looks like overreaction.Levy (2013)
• October 31, 2026 · 3 min readFutures move first: what index futures say before the stock market opensA classic US study found that stock index futures tend to move about five minutes ahead of the index itself. In Brazil, index futures open an hour before stocks.Stoll (1990)

Further reading

• Hamao, Y., Masulis, R. W. & Ng, V. (1990). Correlations in Price Changes and Volatility across International Stock Markets. The Review of Financial Studies, 3(2), 281–307.
• Stoll, H. R. & Whaley, R. E. (1990). The Dynamics of Stock Index and Stock Index Futures Returns. Journal of Financial and Quantitative Analysis, 25(4), 441–468.
• Lin, W.-L., Engle, R. F. & Ito, T. (1994). Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility. The Review of Financial Studies, 7(3), 507–538.
• Levy, A. & Lieberman, O. (2013). Overreaction of country ETFs to US market returns: Intraday vs. daily horizons and the role of synchronized trading. Journal of Banking & Finance, 37(5), 1412–1421.

Summaries are written in our own words. The studies cited do not evaluate or endorse Up or Down BR. Not investment advice.