Intraday Momentum: Evidence from the Crude Oil Market

26 Pages Posted: 11 Jul 2019

See all articles by Zhuzhu Wen

Zhuzhu Wen

affiliation not provided to SSRN

Ro Cho

Massey University, College of Business, School of Economics and Finance

Diandian Ma

Lecturer in Accounting

Yahua Xu

Central University of Finance and Economics (CUFE) - China Economics and Management Academy

Date Written: July 7, 2019

Abstract

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

Suggested Citation

Wen, Zhuzhu and Cho, Ro and Ma, Diandian and Xu, Yahua, Intraday Momentum: Evidence from the Crude Oil Market (July 7, 2019). Available at SSRN: https://ssrn.com/abstract=3416022 or http://dx.doi.org/10.2139/ssrn.3416022

Zhuzhu Wen

affiliation not provided to SSRN

Ro Cho

Massey University, College of Business, School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand

Diandian Ma

Lecturer in Accounting ( email )

12 Grafton Rd
Private Bag 92019
Auckland, 1010
New Zealand

Yahua Xu (Contact Author)

Central University of Finance and Economics (CUFE) - China Economics and Management Academy ( email )

NO.39 South College Road
Haidian District
Beijing, 100081
China

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