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Intraday time-series momentum: Evidence from China

Jin, Muzhao; Kearney, Fearghal; Li, Youwei; Yang, Yung Chiang

Authors

Muzhao Jin

Fearghal Kearney

Yung Chiang Yang



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.

Citation

Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Intraday time-series momentum: Evidence from China. Journal of Futures Markets, https://doi.org/10.1002/fut.22084

Journal Article Type Article
Acceptance Date Nov 27, 2019
Online Publication Date Dec 5, 2019
Deposit Date Dec 6, 2019
Publicly Available Date Nov 30, -0001
Journal Journal of Futures Markets
Print ISSN 0270-7314
Publisher Wiley
Peer Reviewed Peer Reviewed
DOI https://doi.org/10.1002/fut.22084
Keywords Intraday predictability; Momentum; Time‐series
Public URL https://hull-repository.worktribe.com/output/3295550
Publisher URL https://onlinelibrary.wiley.com/doi/full/10.1002/fut.22084