Intraday Momentum Effect Of China A Shares

This paper mainly studies the existence of the momentum effect of the A-share market in one trading day,which we call the daily momentum effect.As we all know,the traditional effective market hypothesis and asset pricing model cannot explain the momentum effect well.With the further study of the momentum effect,there are significant momentum effects in many emerging markets apart from the mature European and American markets.Besides,in addition to the stock market,there are momentum effects in the other financial products market,the formation of these momentum effects cycle is generally a few days,weeks,months and so on.With the development of information technology,on the one hand,the frequency of financial market transactions is getting higher and higher;on the other hand,financial transactions can be reflected in a timely manner,and quickly observed by market participants,and almost simultaneously fed back to the market.Therefore,the core of this paper is about whether this fact will lead to the momentum effect in China's A-share market.Based on the daily data of Shanghai and Shenzhen 300 Stock Index Futures from June 26,2012 to July 13,2016,this paper examines the intraday high-frequency momentum effect of Chinese A-share market.First of all,we use half an hour as the trading frequency,dividing a trading day into eight equal parts.Then we test the effect of the first half an hour on the later-half an hour and we also checked the effect of the first 7.5 hours on eighth and a half hours.Besides,this paper also analysis on the basis of setting trading frequency as one hour and two hour.Again,Empirical results support initial conclusion.Finally,this paper constructs strategy based on momentum effect principle to test the existence of intraday momentum effect.At the same time,in order to improve the reliability of the conclusion,this paper also do out of sample test and robustness test.Based on the empirical analysis,we reached the following conclusions.(1)When the research frequency half an hour,one hour and two hours,the CSI 300 stock index futures exist obvious intraday momentum effect.But when research frequency is settled into two hours,intraday momentum effect is not that obvious when compared with the result when frequency is settled into one hour or half an hour.(2)We find that bull markets exhibit significant momentum effects both in the morning and afternoon,while bear markets often exhibit significant momentum effects in the afternoon.In the high volatility and high volume,the intraday momentum effect is more obvious.(3)Construct the portfolio according to intraday momentum effect.We find that the strategy based on intraday momentum effect will have much practical significance.(4)According to Robustness test,we found that CSI 500 stock index futures also have very high frequency momentum.In this paper,it is the first use of China's A-share market as the object of research to test the existence of intraday momentum effect.Research result reflects the characteristics of China's market mechanism.Besides,it has very important reference significance to the market supervision in China.