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: 20 Feb 2020

See all articles by Muzhao Jin

Muzhao Jin

Queen's University Management School

Fearghal Kearney

Queen's Management School

Youwei Li

Hull University Business School

Yung Chiang Yang

University College Dublin (UCD) College of Business

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 Joseph 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 Joseph Kearney

Queen's Management School ( email )

Riddel Hall
Belfast, Northern Ireland BT9 5EE
Northern Ireland

Youwei Li (Contact Author)

Hull University Business School ( email )

University of Hull
Hull, HU6 7RX
United Kingdom

Yung Chiang Yang

University College Dublin (UCD) College of Business ( email )

Belfield
Dublin, 4
Ireland

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