The fear of holding overnight positions when markets abroad may tumble would be the root of this phenomenon. Curious how these returns would be during another time span, for example excluding the current crisis. Although there’s a theory constructed constructed behind it, my theory is this may very well be a neat example of a data mining bias.
On the other hand, this isn’t very new research. Traderfeed explored it already three years ago. Note that most fireworks takes place outside tradinghours, as macro economic US figures are released one hour before opening.