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Bond intraday momentum

Wei Zhang, Pengfei Wang and Yi Li

Journal of Behavioral and Experimental Finance, 2021, vol. 31, issue C

Abstract: In this paper, we explore bond intraday momentum. By utilizing high-frequency data from the Chinese Treasury bond futures market, we find that the first fifteen-minute return is a good predictor of the last fifteen-minute return. The predictive power of the first fifteen-minute return is stronger on trading days with low trading volume, high trading volatility, positive first fifteen-minute return, and no news release ahead of the trading period. The economic significance of this intraday momentum is also demonstrated by measuring the profits earned through market timing and assessing the difference of certainty equivalent return. Also, this intraday momentum is robust to different bond futures and different predictor construction methods.

Keywords: Intraday momentum; Bond market; Predictability; High-frequency trading (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jbef.2021.100515

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Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

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