We propose a new cross-market overnight momentum: the US stock market’s last half-hour return predicts the next day’s first half-hour stock returns in international markets. This predictability is statistically significant both in- and out-of-sample. The corresponding cross-market overnight time-series momentum (COTSM) strategy shows economic significance in international stock markets investments. The COTSM strategy remains profitable with the consideration of transaction costs, and the profitability is driven by some specific market characteristics. The COTSM is strong when international market spread is low, or information uncertainty is high.