lntraday momentum and reversal in China' stock markets
Finance Research Letters
Intraday returns predictability, Trading costs, Noise trading
Business | Finance and Financial Management
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.
Chu, Xiaojun; Gu, Zherong; and Zhou, Haigang, "lntraday momentum and reversal in China' stock markets" (2019). Business Faculty Publications. 288.