Intraday Time-series Momentum: Evidence from China

Muzhao Jin, Fearghal Kearney, Youwei Li and Yung Chiang Yang

MPRA Paper from University Library of Munich, Germany

Abstract: This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures. Furthermore, in metals markets, we find that first trading sessions with high volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks.

Keywords: Intraday Predictability; Time-Series; Momentum (search for similar items in EconPapers)
JEL-codes: G12 G13 G15 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-cna, nep-mst and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Intraday time‐series momentum: Evidence from China (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:97134

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