Market intraday momentum

• 成果类型: Article
• 署名作者: Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu
• 署名单位: Iowa State University; University of North Carolina; University of North Carolina Charlotte; Rutgers University System; Rutgers University New Brunswick; Washington University (WUSTL); Shanghai Jiao Tong University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.05.009
• 发表日期: 2018
• 页码: 394-414
• 关键词: High frequency trading; Overnight return; Intraday; predictability; momentum

摘要

Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993-2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day's market close predicts the last half-hour return. This predictability, which is both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. Intraday momentum also exists for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslaysky's (2016) model of infrequent portfolio rebalancing but also with a model of late-informed trading near the market close. (C) 2018 Elsevier B.V. All rights reserved.