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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

E+M. Ekonomie a Management

ISSN

1212-3609

e-ISSN

—

Svazek periodika

24

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

124-141

Kód UT WoS článku

000733816600008

EID výsledku v databázi Scopus

2-s2.0-85122183864