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Intraday Time-series Momentum: Evidence from China

Author

Listed:
  • Jin, Muzhao
  • Kearney, Fearghal
  • Li, Youwei
  • Yang, Yung Chiang

Abstract

This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures. Furthermore, in metals markets, we find that first trading sessions with high volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks.

Suggested Citation

  • Jin, Muzhao & Kearney, Fearghal & Li, Youwei & Yang, Yung Chiang, 2019. "Intraday Time-series Momentum: Evidence from China," MPRA Paper 97134, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:97134
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    File URL: https://mpra.ub.uni-muenchen.de/97134/1/MPRA_paper_97134.pdf
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    More about this item

    Keywords

    Intraday Predictability; Time-Series; Momentum;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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