 Market intraday momentum: APAC evidenceManapon Limkriangkrai, Daniel Chai and Gaoping Zheng Pacific-Basin Finance Journal, 2023, vol. 80, issue C Abstract: This study examines the market intraday momentum, where the first half-hour return predicts the last half-hour return, in exchange-traded funds (ETFs) from the selected Asia-Pacific (APAC) markets including China, Hong Kong SAR, Japan, Singapore and South Korea. Intraday momentum is mainly evident in China and Japan. There is weak evidence of the momentum effect in South Korea, while Hong Kong SAR and Singapore appear to have no intraday momentum. When both volatility and trading volume are considered, it is found that volatility has a stronger influence on intraday momentum than trading volume in the APAC markets. Finally, we show that the intraday momentum effect is weaker in the COVID-19 crisis period for the APAC markets that exhibit intraday momentum. Overall, the intraday momentum effect is not as pervasive in the APAC markets when compared to the US evidence. Keywords: Intraday momentum; Return predictability; Asia-Pacific (APAC) markets; COVID crisis (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x2300152x DOI: 10.1016/j.pacfin.2023.102086 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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