EconPapers    
Economics at your fingertips  
 

Market intraday momentum

Lei Gao, Yufeng Han, Sophia Zhengzi Li and Guofu Zhou

Journal of Financial Economics, 2018, vol. 129, issue 2, 394-414

Abstract: Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This predictability, which is 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. Intraday momentum also exists for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslavsky’s (2016) model of infrequent portfolio rebalancing but also with a model of late-informed trading near the market close.

Keywords: High frequency trading; Overnight return; Intraday; Predictability; Momentum (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304405X18301351
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:129:y:2018:i:2:p:394-414

Access Statistics for this article

Journal of Financial Economics is currently edited by G. William Schwert

More articles in Journal of Financial Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-12
Handle: RePEc:eee:jfinec:v:129:y:2018:i:2:p:394-414