Last hour momentum in the Chinese stock market

Lu Yang

China Finance Review International, 2021, vol. 12, issue 1, 69-100

Abstract: Purpose - To capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of theT+0 trading rule. This strategy generates annualized excess return of 9.673%. Design/methodology/approach - In this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF. Findings - Overall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days. Originality/value - Noise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

Keywords: Last hour momentum; Intraday prediction; Chinese stock market; Exchange-traded fund; Information trading; G11; G14; G17 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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:eme:cfripp:cfri-06-2021-0106

DOI: 10.1108/CFRI-06-2021-0106

Access Statistics for this article

China Finance Review International is currently edited by Professor Chongfeng Wu and Professor Haitao Li

More articles in China Finance Review International from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().