Intraday time‐series momentum: Evidence from China

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

doi:10.1002/fut.22084

Cited by 25 publications

(3 citation statements)

References 35 publications

(61 reference statements)

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“…Baltas and Kosowski (2013) corroborate the absolute momentum effect in future markets. Later on, numerous studies prove the time-series momentum effect in commodity markets (Chevallier and Ielpo, 2014;Georgopoulou and Wang, 2017;Rosales, 2017;Ham et al, 2019;Mu and He, 2019;Jin et al, 2020). He and Li (2015) provide initial evidence of the efficacy of time-series trading rules in the US stock market.…”

Section: Cluster 4: Time-series Momentummentioning

confidence: 99%

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Singh

Walia

Saravanan

et al. 2021

JEAS

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PurposeThis study aims to recognize the current dynamics, prolific contributors and salient trends and propose future research directions in the area of alternative momentum investing.Design/methodology/approachThe study uses a blend of electronic database and forward reference searching to ensure the incorporation of all the significant studies. With the help of the Scopus database, the present study retrieves 122 research papers published from 1999 to 2020.FindingsThe results reveal that alternative momentum investing is an emerging area in the field of momentum investing. However, this area has witnessed an exponential growth in last ten years. The study also finds that North American, West European and East Asian countries dominate in total research publications. Through network citation analysis, the study identifies five major clusters: industrial momentum, earnings momentum, 52-week high momentum, time-series momentum and risk-managed momentum.Research limitations/implicationsThe present review will serve as a guide for financial researchers who intend to work on alternative momentum approaches. The study proposes several unexplored research themes in alternative momentum investing on which future studies can focus.Originality/valueThe study embellishes the existing literature on momentum investing by contributing the first bibliometric review on alternative momentum approaches.

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Section: Cluster 4: Time-series Momentummentioning

confidence: 99%

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Singh

Walia

Saravanan

et al. 2021

JEAS

View full text Add to dashboard Cite

show abstract

“…Consequently, knowledge of intraday return predictability and the profitability of an intraday momentum strategy has recently gained much interest. The existence of intraday momentum has been identified in several markets, including the equity market (Gao et al, 2018;Zhang et al, 2019), foreign exchange market (Elaut et al, 2018), commodity ETF (Wen et al, 2020), and commodity futures (Jin et al, 2020).…”

Section: Introductionmentioning

confidence: 99%

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Indriawan¹,

Lien²,

Xu³

2023

The Energy Journal

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We study the impact of the announcements released by the US Energy Information Administration (EIA) on crude oil storage every Wednesday at 10:30 ET (the beginning of the third half-hour interval) on intraday return predictability, that is, intraday momentum. Our results indicate that returns on the third half-hour on EIA announcement days can significantly and positively predict the returns in the last half-hour, whereas, on non-EIA announcement days, only returns in the first half-hour have significant predictability. The dominant source of prediction in the first half-hour return mainly comes from the overnight component. EIA announcements contribute to intraday momentum because they attract more informed traders and because the period surrounding their release is often associated with a reduction in liquidity. Substantial economic gains can be made by using efficient intraday predictors as trading signals.

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“…The digitization of trading in securities has increased the availability of data, and thus made it possible to detect certain relationships more accurately when trading (Jin et al 2019). One of the most important market features is the analysis of trading time in intraday financial studies (Ranaldo 2001).…”

Section: Introductionmentioning

confidence: 99%

Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic

Kubiczek

Tuszkiewicz

2022

IJFS

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A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows for the maintenance of high information efficiency. The COVID-19 pandemic affected many aspects related to stock markets, including their liquidity. The impact of the pandemic is so multidimensional that there are still areas that need to be investigated. One of them is the intraday liquidity patterns on the stock markets. Therefore, the present paper aims to verify the existence of intraday liquidity patterns on the Warsaw Stock Exchange in three periods: before, during and after the panic caused by the first wave of the COVID-19 pandemic. The results confirmed the existence of a U-shaped intraday distribution of the number of transactions and their trading. This outcome highlights the importance of the first and last minutes of a trading session. The COVID-19 pandemic resulted in the domination of WSE transactions of small individual investors who feared the loss of value of their assets, selling them on the stock exchange. In the pandemic, the average percentage change between transactions increased.

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Intraday time‐series momentum: Evidence from China

Cited by 25 publications

References 35 publications

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Mapping the scientific research on alternative momentum investing: a bibliometric analysis

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic

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