Title

lntraday momentum and reversal in China' stock markets

Document Type

Article

Publication Date

12-31-2019

Publication Title

Finance Research Letters

Keywords

Intraday returns predictability, Trading costs, Noise trading

Disciplines

Business | Finance and Financial Management

Abstract

Taking intraday first-half-hour returns as predictor, we find significant intraday momentum and a reversal effect in the Chinese stock market. This momentum and reversal effect is robust even when including previous day returns, overnight returns, and day-of-week effect. We confirm that noise trading is the driving factor that causes the predictability of intraday returns. Although the investment strategy based on the first-half-hour returns can generate abnormal returns, the presence of costs prevents arbitrageur's intervention and makes the intraday returns predictability exist persistently.

DOI

10.1016/j.frl.2019.04.002

Volume

30

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