Intraday Time-series Momentum: Evidence from China

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

Research output: Contribution to journalArticle

4 Citations (Scopus)

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.
Original languageEnglish
JournalJournal of Futures Markets
Early online date05 Dec 2019
DOIs
Publication statusEarly online date - 05 Dec 2019

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