Intraday momentum and reversal in Chinese stock market

Xiaojun Chu, Zherong Gu and Haigang Zhou

Finance Research Letters, 2019, vol. 30, issue C, 83-88

Abstract: Taking intraday first-half-hour returns as predictor, we find significant intraday momentum and a reversal effect in the Chinese stock market. This momentum and reversal effect is robust even when including previous day returns, overnight returns, and day-of-week effect. We confirm that noise trading is the driving factor that causes the predictability of intraday returns. Although the investment strategy based on the first-half-hour returns can generate abnormal returns, the presence of costs prevents arbitrageur's intervention and makes the intraday returns predictability exist persistently.

Keywords: Intraday returns predictability; Trading costs; Noise trading (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:83-88

DOI: 10.1016/j.frl.2019.04.002

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