Market Intraday Momentum

48 Pages Posted: 24 May 2014 Last revised: 20 Jun 2017

Lei Gao

Iowa State University

Yufeng Han

University of North Carolina (UNC) at Charlotte - Finance

Sophia Zhengzi Li

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

Guofu Zhou

Washington University in St. Louis - John M. Olin Business School; China Academy of Financial Research (CAFR)

Multiple version iconThere are 2 versions of this paper

Date Written: June 19, 2017

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 since the previous day’s market close 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 present for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslavsky’s (2016) model of portfolio infrequent rebalancing, but also with a model of trading on late-informed news near the market close.

Keywords: Predictability, Intraday, Momentum, Economic Value

JEL Classification: G11, G14

Suggested Citation

Gao, Lei and Han, Yufeng and Li, Sophia Zhengzi and Zhou, Guofu, Market Intraday Momentum (June 19, 2017). 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

University of North Carolina (UNC) at Charlotte - Finance ( email )

9201 University City Boulevard
Charlotte, NC 28223
United States

Sophia Zhengzi Li

Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

100 Rockafeller Rd
Piscataway, NJ 08854
United States

Guofu Zhou (Contact Author)

Washington University in St. Louis - John M. Olin Business School ( 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/

China Academy of Financial Research (CAFR)

Shanghai Advanced Institute of Finance
Shanghai P.R.China, 200030
China

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