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Market intraday momentum in Australia

Author

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  • Ho, Tu
  • Lv, Jin Roc
  • Schultz, Emma

Abstract

We investigate whether the market intraday momentum reported by Gao et al. (2018) is observed in the Australian context. First, we use US data to validate our empirical method, documenting the same statistically significant positive relationship between first and last half-hour market returns that were reported by Gao et al. (2018). Despite this, our analysis using Australian data yields no statistically significant results and, as such, provides little evidence of intraday momentum in this market. Subsequent analyses suggest that the relatively small number of daily trades in the Australian market might explain our finding.

Suggested Citation

  • Ho, Tu & Lv, Jin Roc & Schultz, Emma, 2021. "Market intraday momentum in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    • Handle: RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x21000068
    DOI: 10.1016/j.pacfin.2021.101499
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    References listed on IDEAS

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    1. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
    2. Gao, Lei & Han, Yufeng & Zhengzi Li, Sophia & Zhou, Guofu, 2018. "Market intraday momentum," Journal of Financial Economics, Elsevier, vol. 129(2), pages 394-414.
    3. Ito, Takatoshi & Lin, Wen-Ling, 1992. "Lunch break and intraday volatility of stock returns : An hourly data analysis of Tokyo and New York stock markets," Economics Letters, Elsevier, vol. 39(1), pages 85-90, May.
    4. Vincent Bogousslavsky, 2016. "Infrequent Rebalancing, Return Autocorrelation, and Seasonality," Journal of Finance, American Finance Association, vol. 71(6), pages 2967-3006, December.
    5. Dermot P. Murphy & Ramabhadran S. Thirumalai, 2017. "Short†Term Return Predictability And Repetitive Institutional Net Order Activity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(4), pages 455-477, December.
    6. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 1994. "Security Analysis and Trading Patterns When Some Investors Receive Information before Others," Journal of Finance, American Finance Association, vol. 49(5), pages 1665-1698, December.
    7. Ohta, Wataru, 2006. "An analysis of intraday patterns in price clustering on the Tokyo Stock Exchange," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 1023-1039, March.
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    Cited by:

    1. Limkriangkrai, Manapon & Chai, Daniel & Zheng, Gaoping, 2023. "Market intraday momentum: APAC evidence," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    2. Motamarri, Saradhi & Akter, Shahriar & Hossain, Md Afnan & Dwivedi, Yogesh K, 2022. "How does remote analytics empowerment capability payoff in the emerging industrial revolution?," Journal of Business Research, Elsevier, vol. 144(C), pages 1163-1174.

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    More about this item

    Keywords

    High frequency trading; Intraday; Momentum; Predictability;
    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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