Last hour momentum in the Chinese stock market
China Finance Review International
ISSN: 2044-1398
Article publication date: 24 September 2021
Issue publication date: 1 February 2022
Abstract
Purpose
To capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.
Design/methodology/approach
In this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.
Findings
Overall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.
Originality/value
Noise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.
Keywords
Acknowledgements
The authors are grateful to anonymous referees for their helpful comments and suggestions. This work was supported by Shenzhen financial program to support basic scientific research Grant Number 20200826152220001, Guangdong Social Science Project Grant Number GD20XYJ29.
Citation
Yang, L. (2022), "Last hour momentum in the Chinese stock market", China Finance Review International, Vol. 12 No. 1, pp. 69-100. https://doi.org/10.1108/CFRI-06-2021-0106
Publisher
:Emerald Publishing Limited
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