44 Pages Posted: 24 May 2014 Last revised: 12 Dec 2015
Date Written: December 11, 2015
Based on high frequency data of the S&P 500 ETF from 1993-2013, we document an intraday momentum pattern: the first half-hour return on the market predicts the last half-hour return. The predictability, 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. This intraday momentum is also strong for ten other most actively traded domestic and international ETFs, and two major international equity index futures. Theoretically, the intraday momentum is consistent with the trading behavior of informed traders.
Keywords: Predictability, Intraday, Momentum, Economic Value
JEL Classification: G11, G14
Suggested Citation: Suggested Citation
Gao, Lei and Han, Yufeng and Li, Sophia Zhengzi and Zhou, Guofu, Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return (December 11, 2015). Available at SSRN: https://ssrn.com/abstract=2440866 or http://dx.doi.org/10.2139/ssrn.2440866