Work

Intraday time‐series momentum: Evidence from China

Year: 2019

Type: article

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.

Source: Journal of Futures Markets

DOI: 10.1002/fut.22084

Authors: Muzhao Jin, Fearghal Kearney, Youwei Li, Yung Chiang Yang

Institutions: Queen's University Belfast, University of Hull, University College Dublin

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Natural Science Foundation of China

Award: 自适应学习与全局博弈下的资产定价——基于异质交易者模型的研究