Intraday Time-series Momentum: Evidence from China

Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung Chiang

doi:10.2139/ssrn.3493927

Cited by 4 publications

(5 citation statements)

References 29 publications

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“…Previous studies have found that intraday predictability tends to be stronger during highly volatile periods in equity and commodity markets (e.g., Gao et al, 2018 ; Jin et al, 2020 ; Wen et al, 2020 ; Zhang et al, 2019 ). In light of this, in this section we investigate whether volatility impacts the intraday momentum pattern shown by the commodity ETFs and their related volatility indices.…”

Section: Empirical Analysismentioning

confidence: 97%

“…The pioneering work of Gao et al (2018) considers the US stock market and finds evidence that the first and penultimate half-hour returns exhibit positive forecasting ability for the last half-hour return. This type of analysis of intraday momentum has been extended to several other markets, including the Chinese equity market (e.g., Zhang et al, 2019 ), foreign exchange market (e.g., Elaut et al, 2018 ), Chinese commodity futures market (e.g., Jin et al, 2020 ), and US crude oil exchange-traded fund (ETF) market (e.g., Wen et al, 2020 ). 1 In this paper, we extend this embryonic line of research to the patterns of intraday return predictability for several commodity ETFs and their related volatility indices, focusing on the crude oil, gold, and silver markets.…”

Section: Introductionmentioning

confidence: 99%

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Intraday return predictability: Evidence from commodity ETFs and their related volatility indices

Bouri

Saeed

et al. 2020

Resources Policy

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Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that intraday return predictability exists in all the markets, but the patterns of predictability differ for each market, with different half-hour returns, not necessarily the first half-hour returns of the trading day, exhibiting significant predictability for their last half-hour counterparts, depending on the specific market. The intraday return predictability is stronger on days of higher volatility and larger jumps. Substantial economic value can be generated by a market timing strategy which is constructed upon the intraday momentum, in all the markets under study. Possible theoretical explanations for the intraday return predictability are infrequent portfolio rebalancing investors and late-informed investors.

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Section: Empirical Analysismentioning

confidence: 97%

Section: Introductionmentioning

confidence: 99%

Intraday return predictability: Evidence from commodity ETFs and their related volatility indices

Bouri

Saeed

et al. 2020

Resources Policy

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“…Sun [10] and Renault [ 11 ] demonstrated that high-frequency investor sentiment can predict intraday stock returns, and Zhang [12] , Chu [3] , and Li [13] provided strong evidence for intraday time-series momentum in Chinese stock markets. Similarly, Jin [14] observed intraday momentum for four Chinese futures contracts, soybean, copper, steel, and soybean meal; however, Yang [15] showed that intraday strategies in the Chinese commodity futures market could not generate high excess returns due to transaction costs.…”

Section: Literature Reviewmentioning

confidence: 99%

Exploring the predictability of intraday returns in China's stock market

Xu¹

2022

BCPBM

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With the rapid development of high-frequency trading, intraday trading has become more and more popular due to its important role in understanding the efficiency of the intraday market and capturing more trading opportunities. This article explores whether there is momentum effect and reversal effect in China’s stock market by studying the correlation and predictability between half-hour returns. The results show that there is an intraday momentum effect between the first half-hour and full-day returns. After the investment strategy, it is found that this effect has economic significance, but after considering the transaction costs, the momentum effect cannot make investors obtain excess returns. These costs are the reason for the long-term predictability of intraday returns.

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“…Jin et al. (2020) and Zhang et al. (2020) show significant evidence of time series intraday momentum in Chinese commodity markets.…”

Section: Introductionmentioning

confidence: 98%

Bitcoin intraday time series momentum

Shen

Urquhart

Wang

2021

The Financial Review

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This study examines intraday time series momentum in Bitcoin. Unlike stock markets, Bitcoin trades 24 h a day and therefore has not got a clear opening and closing period. Therefore, we use trading volume as a proxy for the market trading time and show that the first half‐hour positively predicts the last half‐hour return. We find that the first trading sessions with the highest volume or volatility are associated with the greatest predictability for intraday time series momentum. We also show that intraday momentum‐based trading yields substantial economic gains in terms of market timing and asset allocation, especially in periods of a market downturn in Bitcoin. Consistent with the finding in foreign exchange markets, our results also show that the Bitcoin intraday momentum is driven by liquidity provision rather than late‐informed trading.

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Intraday Time-series Momentum: Evidence from China

Cited by 4 publications

References 29 publications

Intraday return predictability: Evidence from commodity ETFs and their related volatility indices

Intraday return predictability: Evidence from commodity ETFs and their related volatility indices

Exploring the predictability of intraday returns in China's stock market

Bitcoin intraday time series momentum

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