Intraday Time-series Momentum: Evidence from China

Journal of Futures Markets, Forthcoming

QMS Research Paper 2019/12

38 Pages Posted: 13 Dec 2019 Last revised: 11 Dec 2020

See all articles by Muzhao Jin

Muzhao Jin

Queen's University Management School

Fearghal Kearney

Queen's University Belfast - Queen's Management School

Youwei Li

Hull University Business School

Yung Chiang Yang

Date Written: November 26, 2019

Abstract

This study conducts an investigation of intraday time-series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half-hour return positively predicts the last half-hour return across all four futures. Furthermore, in metals markets, we find that first trading sessions with high volume or volatility are associated with the strongest intraday time-series momentum dynamics. Based on this, we propose an intraday momentum informed trading strategy that earns a return in excess of standard always long and buy-and-hold benchmarks.

Keywords: Intraday Predictability, Time-Series, Momentum

JEL Classification: G12, G13, G15

Suggested Citation

Jin, Muzhao and Kearney, Fearghal and Li, Youwei and Yang, Yung Chiang, Intraday Time-series Momentum: Evidence from China (November 26, 2019). Journal of Futures Markets, Forthcoming, QMS Research Paper 2019/12, Available at SSRN: https://ssrn.com/abstract=3493927 or http://dx.doi.org/10.2139/ssrn.3493927

Muzhao Jin

Queen's University Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Fearghal Kearney

Queen's University Belfast - Queen's Management School ( email )

Riddel Hall
185 Stranmillis Road
Belfast, BT9 5EE
United Kingdom

Youwei Li (Contact Author)

Hull University Business School ( email )

University of Hull
Hull, HU6 7RX
United Kingdom

No contact information is available for Yung Chiang Yang

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
248
Abstract Views
917
rank
169,373
PlumX Metrics