Hedging demand and market intraday momentum

• 成果类型: Article
• 署名作者: Baltussen, Guido; Da, Zhi; Lammers, Sten; Martens, Martin
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.029
• 发表日期: 2021
• 页码: 377-403
• 关键词: Return momentum; Futures trading; Hedging demand; Return predictability; Indexing

摘要

Hedging short gamma exposure requires trading in the direction of price movements, thereby creating price momentum. Using intraday returns on over 60 futures on equities, bonds, commodities, and currencies between 1974 and 2020, we find strong market intraday momentum everywhere. The return during the last 30 minutes before the market close is positively predicted by the return during the rest of the day (from previous market close to the last 30 minutes). The predictive power is economically and statistically highly significant, and reverts over the next days. We provide novel evidence that links market intraday momentum to the gamma hedging demand from market participants such as market makers of options and leveraged ETFs. (c) 2021 Published by Elsevier B.V.