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

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Listed:
  • Li, Yi
  • Shen, Dehua
  • Wang, Pengfei
  • Zhang, Wei

Abstract

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.

Suggested Citation

  • Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei, 2020. "Does intraday time-series momentum exist in Chinese stock index futures market?," Finance Research Letters, Elsevier, vol. 35(C).
    • Handle: RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304337
    DOI: 10.1016/j.frl.2019.09.007
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    References listed on IDEAS

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    Cited by:

    1. Zhang, Zhehao & Xing, Ruina & Liu, Jiajun & Shao, Yifei, 2023. "Correlation-based investment strategies: A comparison between Chinese and US stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    2. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Bond intraday momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    3. Wen, Danyan & Wang, Yudong & Zhang, Yaojie, 2021. "Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism," Economic Modelling, Elsevier, vol. 96(C), pages 209-219.
    4. Zhang, Wei & Wang, Pengfei & Li, Yi, 2020. "Intraday momentum in Chinese commodity futures markets," Research in International Business and Finance, Elsevier, vol. 54(C).
    5. Onishchenko, Olena & Zhao, Jing & Kuruppuarachchi, Duminda & Roberts, Helen, 2021. "Intraday time-series momentum and investor trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).

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    More about this item

    Keywords

    Intraday momentum; Chinese stock index futures; 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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