Market intraday momentum

By Lei Gao, Yufeng Han, Sophia Z Li, Guofu Zhou. Journal of Financial Economics, 2018

181 citations recorded by the source corpus.

Based on high frequency data of the S&P 500 ETF from 1993-2013, we document an intraday momentum pattern: the first half-hour return on the market predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. This intraday momentum is also strong for ten other most actively traded domestic and international ETFs, and two major international equity index futures. Theoretically, the intraday momentum is consistent with the trading behavior of informed traders.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/eb5931b46eb39831d053babe7bfed0f4687f0cea

Citations in the corpus

• Stock return predictability from a mixed model perspective (2020, unknown): “, 1 , 1 , 1 , N c t i t i t i r r      (22)”