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The impact of intraday momentum on stock returns: Evidence from S&P500 and CSI300

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F21%3A63533298" target="_blank" >RIV/70883521:28120/21:63533298 - isvavai.cz</a>

  • Result on the web

    <a href="https://dspace.tul.cz/bitstream/handle/15240/161029/EM_4_2021_08.pdf" target="_blank" >https://dspace.tul.cz/bitstream/handle/15240/161029/EM_4_2021_08.pdf</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.15240/tul/001/2021-4-008" target="_blank" >10.15240/tul/001/2021-4-008</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    The impact of intraday momentum on stock returns: Evidence from S&P500 and CSI300

  • Original language description

    This paper analyzes the statistical impact of COVID-19 on the S&amp;P500 and the CSI300 intraday momentum. This study employs an empirical method, that is, the intraday momentum method used in this research. Also, the predictability of timing conditional strategies is also used here to predict the intraday momentum of stock returns. In addition, this study aims to estimate and forecast the coefficients in the stock market pandemic crisis through a robust standard error approach. The empirical findings indicate that the intraday market behavior an unusual balanced; the volatility and trading volume imbalance and the return trends are losing overwhelmingly. The consequence is that the first half-hour return will forecast the last half-hour return of the S&amp;P500, but during the pandemic shock, the last half-hour of both stock markets will not have a significant impact on intraday momentum. Additionally, market timing strategy analysis is a significant factor in the stock market because it shows the perfect trading time, decides investment opportunities and which stocks will perform well on this day. Besides, we also found that when the volatility and volume of the S&amp;P500 are both at a high level, the first half-hour has been a positive impact, while at the low level, the CSI300 has a negative impact on the last half-hour. In addition, this shows that the optimistic effect and positive outlook of the stockholders for the S&amp;P500 is in the first half-hours after weekend on Monday morning because market open during the weekend holiday, and the mentality of every stockholder’s indicate the positive impression of the stock market.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50201 - Economic Theory

Result continuities

  • Project

  • Continuities

    V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Others

  • Publication year

    2021

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    E+M. Ekonomie a Management

  • ISSN

    1212-3609

  • e-ISSN

  • Volume of the periodical

    24

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    CZ - CZECH REPUBLIC

  • Number of pages

    18

  • Pages from-to

    124-141

  • UT code for WoS article

    000733816600008

  • EID of the result in the Scopus database

    2-s2.0-85122183864