Intraday Time-series Momentum: Evidence from China
Journal of Futures Markets, Forthcoming
38 Pages Posted: 13 Dec 2019 Last revised: 20 Feb 2020
Date Written: November 26, 2019
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: Suggested Citation