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Intraday time-series momentum: Evidence from China

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


Muzhao Jin

Fearghal Kearney

Yung Chiang Yang


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.

Journal Article Type Article
Journal Journal of Futures Markets
Print ISSN 0270-7314
Publisher Wiley
Peer Reviewed Peer Reviewed
APA6 Citation Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Intraday time-series momentum: Evidence from China. Journal of Futures Markets,
Keywords Intraday predictability; Momentum; Time‐series
Publisher URL