Intraday time-series momentum: Evidence from China

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

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: Dec 6, 2021
• 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
• Contract Date: Dec 9, 2019