Overnight cryptocurrency downside and opening versus intraday equity returns in Southeast Asia (Research Square)

Summary

• In Vietnam, a one-standard-deviation increase in cryptocurrency downside is associated with a 2.3-basis-point lower VN-Index opening return and a 14.9-basis-point lower intraday return.p.2
• On common trading dates, the allocation differs between Vietnam and Singapore by 17.3 basis points and between Vietnam and Malaysia by 12.8 basis points.p.2
• Intervals covering weekends or local public holidays account for 21.0–24.0% of the observed sessions.p.5
• The fraction of stale opening observations ranges from 5.6% to 11.4% in the Vietnamese series, is 1.3% for the STI, 1.6% for the KLCI, and reaches 26.1% for the JKSE.p.7
• A one-standard-deviation increase in CMDS corresponds to close-to-close return coefficients of -17.2 basis points for the VN-Index and -26.3 basis points for VNMidcap.p.9
• For the VN-Index, the close-to-close coefficient changes from -17.2 basis points with controls to -23.7 basis points without them.p.9

Key insights

1. The association between overnight cryptocurrency downside and equity returns is concentrated during intraday trading in Vietnam, with the intraday coefficient accounting for 86% of the total estimated association.p.2
2. Song (2026) finds that overnight Bitcoin losses in the United States show a stronger association at the opening for SPY and QQQ ETFs.p.2
3. Five-minute spot prices for eight cryptocurrencies were retrieved from the Binance archive in Tether (USDT) quotes.p.5
4. Standardised consensus-weighted market downside severity (CMDS) measures overnight downside by combining negative breadth and median downside size.p.6
5. Across all seven examined indices, overnight cryptocurrency downside shows a negative estimated association with next-session close-to-close returns.p.9
6. In Singapore, the Straits Times Index opening coefficient is -7.2 basis points while the intraday coefficient is -1.7 basis points.p.10
7. On common trading dates, the allocation difference of the VN-Index exceeds that of Singapore by 17.3 basis points and Malaysia by 12.8 basis points.p.11