Intraday time-series momentum and investor trading behavior

Olena Onishchenko, Jing Zhao, Duminda Kuruppuarachchi and Helen Roberts

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

Abstract: This paper documents intraday time-series momentum in Taiwanese exchange-traded funds, as evidenced by the predictive relationship between the last half-hour return and the first three half-hour returns. A market timing trading strategy that uses trading signals from the second (third) half-hour return outperforms the benchmarks, earning a market-adjusted return of 5.33% (5.27%) per annum. Institutional and foreign investors’ order imbalances over the last half-hour determine concurrent returns and positively respond to early-morning returns, while the predictive effect of the first half-hour return on the last half-hour return disappears after controlling for institutional and foreign investors’ trading behavior. Collectively, we show that institutional and foreign investors’ late-informed trading contributes to intraday time-series momentum.

Keywords: Return predictability; Intraday momentum; Exchange-traded fund; Investor type; Late-informed trading (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021001015

DOI: 10.1016/j.jbef.2021.100557

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