Does intraday time-series momentum exist in Chinese stock index futures market?

被引：13
|
作者：
Li, Yi [1 ]
Shen, Dehua [1 ,2 ]
Wang, Pengfei [1 ]
Zhang, Wei [1 ,2 ]
机构：
[1] Tianjin Univ, Coll Management & Econ, 92 Weijin Rd, Tianjin 300072, Peoples R China
[2] Tianjin Univ, China Ctr Social Comp & Analyt, Tianjin, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2020年 / 35卷
基金：
中国国家自然科学基金;
关键词：
Intraday momentum; Chinese stock index futures; Predictability; High frequency trading;
D O I：
10.1016/j.frl.2019.09.007
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we investigate the intraday momentum in the Chinese stock index futures market. By conducting both in-sample and out-of-sample tests, we find that the first trading-session return can significantly predict the last trading-session return, especially when defining the trading session at the 60 min level. The intraday momentum is stronger on days with high volume, volatility, and investor attention. And the intraday momentum strategies yield substantial returns per year and utility gains for investors. Our results are robust to alternative index futures, alternative sample period and the sign of first trading-session return.
引用
收藏
页数：11
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