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Bond intraday momentum

Author

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  • Zhang, Wei
  • Wang, Pengfei
  • Li, Yi

Abstract

In this paper, we explore bond intraday momentum. By utilizing high-frequency data from the Chinese Treasury bond futures market, we find that the first fifteen-minute return is a good predictor of the last fifteen-minute return. The predictive power of the first fifteen-minute return is stronger on trading days with low trading volume, high trading volatility, positive first fifteen-minute return, and no news release ahead of the trading period. The economic significance of this intraday momentum is also demonstrated by measuring the profits earned through market timing and assessing the difference of certainty equivalent return. Also, this intraday momentum is robust to different bond futures and different predictor construction methods.

Suggested Citation

  • Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    • Handle: RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000599
    DOI: 10.1016/j.jbef.2021.100515
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    References listed on IDEAS

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    More about this item

    Keywords

    Intraday momentum; Bond market; Predictability; High-frequency trading;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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