Short‐term Return Predictability and Repetitive Institutional Net Order Activity

Murphy, Dermot; Thirumalai, Ramabhadran S.

doi:10.1111/jfir.12131

Cited by 23 publications

(9 citation statements)

References 48 publications

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“…Overall, although a half-hour lag of predictability exists for the different signal signs, the half-hour momentum is much stronger during negative return days than during positive return days. These results are very similar to Murphy and Thirumalai (2013). However, for the ETF, only one insignificant result is identified: the predictability conditional on a positive seventh half-hour return.…”

Section: Conditional Predictabilitysupporting

confidence: 66%

“…As indicated in Murphy and Thirumalai (2013), there is much stronger intraday momentum during negative returns' days than the positive returns' days. Besides, because of the short selling constraint, an investigation is required to determine how the last hour momentum reacts to the signs of the sixth (seventh) half-hour returns.…”

Section: Conditional Predictabilitymentioning

confidence: 93%

“…Moreover, as indicated in the previous section, financial turbulence has some effects on last hour momentum. As such, we further investigate how volatility influences intraday momentum in general because periods of financial turbulence period are characterized by high volatility (Admati and Pfleiderer, 1988;Lee and Swaminathan, 2000;Murphy and Thirumalai, 2013). Therefore, we sort the sample by the sixth (seventh) half-hour volatility and split the data into two groups: low volatility days and high volatility days.…”

Section: Volatility and Volumementioning

confidence: 99%

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Last hour momentum in the Chinese stock market

Yang

2021

CFRI

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PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.Design/methodology/approachIn this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.FindingsOverall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.Originality/valueNoise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

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Section: Conditional Predictabilitysupporting

confidence: 66%

Section: Conditional Predictabilitymentioning

confidence: 93%

Section: Volatility and Volumementioning

confidence: 99%

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Last hour momentum in the Chinese stock market

Yang

2021

CFRI

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“…According to Chittenden et al (2010), stock prices are too affordable compared to the past, so post-split prices do not look attractive anymore to attract new small/retail investors. However, Murphy and Thirumalai (2017) found that retail traders were attracted to the lower prices after stock splits on the National Stock Exchange of India (NSE). Studying Bursa Malaysia, Tabibian et al (2020) and Tabibian and Zhang (2018) report no significant abnormal returns or liquidity improvement after the Ex-date.…”

Section: Literature Review and Hypothesesmentioning

confidence: 99%

Stock Split Rule Changes and Stock Liquidity: Evidence from Bursa Malaysia

Tabibian

Zhang

Mand

2021

JRFM

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We test the impact of stock split rule changes on liquidity behavior in Bursa Malaysia during 2004–2020. Using event study methodology, this study examines stock liquidity on and around stock split days through three subperiods of study, including the first (2004–2006), second (2007–2009), and third (2010–2020) period. We find that liquidity improvement is short-lived in the first and second periods, while it is a long-lived phenomenon in the third period. Firms in the first and second period experienced liquidity improvement only on the split announcement day, while it lasts up to a year after the Ex-date for firms in the third period. Our findings also show a liquidity improvement after the Ex-date only in the third period for the groups of firms categorized based on the liquidity, split factor, and other simultaneous announcements. The findings suggest a positive effect of stock split rule changes implemented by the Securities Commission.

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“…Kahraman and Tookes (2017) andMurphy and Thirumalai (2017) also use data provided by the NSE.8 We refer to Appendix A for a detailed description of the NSE market.…”

mentioning

confidence: 99%

Liquidity Provision: Normal Times vs Crashes

Jagannathan,

Pelizzon,

Schaumburg

et al. 2019

SSRN Journal

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Short‐term Return Predictability and Repetitive Institutional Net Order Activity

Cited by 23 publications

References 48 publications

Last hour momentum in the Chinese stock market

Last hour momentum in the Chinese stock market

Stock Split Rule Changes and Stock Liquidity: Evidence from Bursa Malaysia

Liquidity Provision: Normal Times vs Crashes

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