Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

44 Pages Posted: 24 May 2014 Last revised: 12 Dec 2015

Lei Gao

Iowa State University

Yufeng Han

UNCC

Sophia Zhengzi Li

Michigan State University

Guofu Zhou

Washington University in St. Louis - Olin School of Business

Multiple version iconThere are 2 versions of this paper

Date Written: December 11, 2015

Abstract

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

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

Lei Gao

Iowa State University ( email )

Ames, IA 50011-2063
United States

Yufeng Han

UNCC ( email )

9201 University City Boulevard
Charlotte, NC 28223
United States

Sophia Zhengzi Li

Michigan State University ( email )

315 Eppley Center
East Lansing, MI 48824-1122
United States

Guofu Zhou (Contact Author)

Washington University in St. Louis - Olin School of Business ( email )

Washington University
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-6384 (Phone)
314-658-6359 (Fax)

HOME PAGE: http://apps.olin.wustl.edu/faculty/zhou/

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