IDEAS home Printed from https://ideas.repec.org/a/eme/cfripp/cfri-06-2021-0106.html
   My bibliography  Save this article

Last hour momentum in the Chinese stock market

Author

Listed:
  • Lu Yang

Abstract

Purpose - To capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of theT+0 trading rule. This strategy generates annualized excess return of 9.673%. Design/methodology/approach - In this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF. Findings - Overall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days. Originality/value - Noise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

Suggested Citation

  • Lu Yang, 2021. "Last hour momentum in the Chinese stock market," China Finance Review International, Emerald Group Publishing Limited, vol. 12(1), pages 69-100, September.
    • Handle: RePEc:eme:cfripp:cfri-06-2021-0106
    DOI: 10.1108/CFRI-06-2021-0106
    as

    Download full text from publisher

    File URL: https://www.emerald.com/insight/content/doi/10.1108/CFRI-06-2021-0106/full/html?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://www.emerald.com/insight/content/doi/10.1108/CFRI-06-2021-0106/full/pdf?utm_source=repec&utm_medium=feed&utm_campaign=repec
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1108/CFRI-06-2021-0106?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Last hour momentum; Intraday prediction; Chinese stock market; Exchange-traded fund; Information trading; G11; G14; G17;
    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eme:cfripp:cfri-06-2021-0106. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Emerald Support (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.