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Market intraday momentum

Author

Listed:
  • Gao, Lei
  • Han, Yufeng
  • Zhengzi Li, Sophia
  • Zhou, Guofu

Abstract

Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslavsky’s (2016) model of infrequent portfolio rebalancing but also with a model of late-informed trading near the market close.

Suggested Citation

  • Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018. "Market intraday momentum," Journal of Financial Economics, Elsevier, vol. 129(2), pages 394-414.
    • Handle: RePEc:eee:jfinec:v:129:y:2018:i:2:p:394-414
    DOI: 10.1016/j.jfineco.2018.05.009
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    More about this item

    Keywords

    High frequency trading; Overnight return; Intraday; Predictability; Momentum;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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