Intraday Momentum: Evidence from the Crude Oil Market
26 Pages Posted: 11 Jul 2019
Date Written: July 7, 2019
Our analysis of high-frequency United States Oil Fund (USO) data from 2006 to 2018 shows that intraday momentum exists in the crude oil market. The first half-hour return from the previous day’s market close positively predicts the last half-hour return both in-sample and out-of-sample. Predictability is stronger during crisis periods and on days with higher realized volatility, higher trading volume, higher overnight returns, and jumps. A market timing strategy, constructed by using the first half-hour return as a timing signal, outperforms two other benchmark strategies.
Keywords: intraday momentum, return predictability, crude oil market, market timing strategy
JEL Classification: G1; C5; Q3; Q4
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