Intraday return predictability: Evidence from commodity ETFs and their related volatility indices

Yahua Xu, Elie Bouri (), Tareq Saeed and Zhuzhu Wen

Resources Policy, 2020, vol. 69, issue C

Abstract: Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that intraday return predictability exists in all the markets, but the patterns of predictability differ for each market, with different half-hour returns, not necessarily the first half-hour returns of the trading day, exhibiting significant predictability for their last half-hour counterparts, depending on the specific market. The intraday return predictability is stronger on days of higher volatility and larger jumps. Substantial economic value can be generated by a market timing strategy which is constructed upon the intraday momentum, in all the markets under study. Possible theoretical explanations for the intraday return predictability are infrequent portfolio rebalancing investors and late-informed investors.

Keywords: Intraday return predictability; Commodity ETFs; Commodity volatility indices; Market timing strategy (search for similar items in EconPapers)
JEL-codes: C5 G1 Q3 Q4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030862x

DOI: 10.1016/j.resourpol.2020.101830

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