Intraday time-series momentum: Evidence from China |
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Authors: | Muzhao Jin Fearghal Kearney Youwei Li Yung Chiang Yang |
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Institution: | 1. Queen's Management School, Queen's University Belfast, Belfast, UK;2. Hull University Business School, University of Hull, Hull, UK;3. UCD College of Business, University College Dublin, Dublin, Ireland |
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Abstract: | This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures. Furthermore, in metals markets, we find that first trading sessions with high volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks. |
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Keywords: | intraday predictability momentum time-series |
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