Munich Personal RePEc Archive

Intraday Time-series Momentum: Evidence from China

Jin, Muzhao and Kearney, Fearghal and Li, Youwei and Yang, Yung Chiang (2019): Intraday Time-series Momentum: Evidence from China.

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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.

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