| In international market,the China stock market,as one of the most active markets in the world,has a very representative research value.With the rapid of China’s market economy,the China stock market has attracted more and more domestic investors and overseas investors.The high-frequency trading in the financial market has become the norm.With the development of information technology,the information of the stock trading market can be reflected in time,and it will affect the investors’ next investment strategies.Efficient market theory is an important cornerstone of modern finance,providing a standard for judging the efficiency of financial resource allocation in capital markets.The momentum effect means that the trend of price appears to be continuous and continuous within a certain time horizon.According to empirical studies by Jegadeesh and Titman(1993,2001),stocks which have performed well or underperformed in the past 3-12 months(winners or losers)continue to perform well or underperform in the next 3-12 months.The results of most scholars show that the momentum effect is widely exist in stock market.Gong,Liu and Liu(2015)found that in 26 countries,including Australia and Canada,have short-term momentum effects ranging from 2 weeks to 12 months.Moreover,Barclay and Warner(1993),Chakravarty(2001),Boehmer and Wu(2013)found that different trading assets require at least one trading day for the digestion of significant news,thus generating an intraday momentum effect.Gao,Han,Li,Zhou et al.(2015)first considered the intraday momentum effect in the US market.They found strong evidence of the intraday momentum effect in the market,that is the return of the first half hour and the penultimate half hour in the market can significantly predicts the return in the last half hour of the market.Growth stocks(high price-to-book ratio)have a higher momentum effect than value stocks(low price-to-book ratio).Growth stocks with small-market value have greater momentum gains.A-shares listed on the SME board of the Shenzhen Stock Exchange,namely Small&Medium Enterprise Board,are typical growth stocks in China’s stock market.Therefore,this paper selects the high frequency of Small&Medium Enterprise Board in the domestic stock market.The high frequency data is used as a research sample to investigate the predictability of intraday momentum to stock returns.Many investors are keen on intraday trading,because the intraday trading time are short and can avoid some market risks.The intraday momentum is a momentum effect with a shorter frequency and lasts from the open and the end of a trading day.The trading hours of the Chinese stock market are divided into two parts,they are 9:30 am to 11:30 am and 1 pm to 3 pm,so this article divides the trading hours of the Chinese stock market into 8 segments on a half-hour basis,and studies the first half hour after the opening,the seventh half hour,that is,the second to last half hour of the return can predict the return of the last half hour before the closing,that is,within the eighth half hour.Since the Chinese stock exchange market will have a rest in the middle of the day,the daily transaction is divided into two parts: the morning field and the afternoon field.Therefore,this paper also demonstrates the first half hour after the daily opening and the third half hour,which is the second last in the morning.Whether the return within half an hour can predict the return in the last half hour before the closing of the morning,that is,within the fourth half hour.Just because the Chinese stock market has a 1 hour and 30-minute rest time at noon,this gap allows investors to obtain new information while knowing about the morning trading situation and thus affecting intraday momentum,so this article finally explores half-day momentum.The paper also demonstrates whether intraday momentum can predict stock returns in the bull and bear markets and when there are fluctuations in returns,volume changes,changes in trading size,changes in economic cycles,and major news releases.According to the research methods of Gao and Han(2018),this paper also studies institutional investors.This paper also demonstrates whether the intraday momentum of the stock market outside the sample can also predict stock returns.Finally,the paper examines the results by studying conditional predictions and studying other stock indices,intraday momentum in the last half hour of the previous day,and intraday momentum in other time horizons.There are what the author finds through the study:(1)The stock returns in the first half hour and the seventh half hour after the opening day of the trading day can significantly predict the return in the last half hour.(2)The return in the first half hour and the return in the third half hour in the morning can predict the last one in the morning,which is the fourth half hour.(3)The morning return of the stock market can predict the afternoon’s return.Through the research,the paper also concludes that(1)The momentum is more predictive in the bear market day;(2)The greater the volatility of the return,the stronger the intraday momentum predict stock returns;(3)The predictability of intraday momentum to stock returns increases with the increase of trading volume;(4)The size hardly affects the predictability of the return in the first half hour,but the return is more predictive in the penultimate half hour of the big trading day;(5)The momentum is more predictive in the high institutional holding day group,The intraday momentum is less predictive at the end of the month;(6)The intraday momentum is more predictive on the economic cycle recession day;(7)The intraday momentum is highly predictive on the trading day with significant news release.The main contributions of this paper are as follows: Firstly,it confirms that the intraday momentum in China’s stock market can predict stock returns,secondly,it confirms the predictability of intraday momentum in the morning field,which has important economic value for ultra-short-term investors,thirdly,it confirms that half momentum is also predictive.This paper mainly studies the relationship between intraday momentum and stock returns by studying the relationship between the return of Small&Medium Enterprise Board stocks in different trading periods in China’s stock market,and provides relevant institutional investors and individual investors with relative valued intraday investment strategies.Both institutional investors and individual investors can use the predictability of intraday momentum to make predictions about the next stock returns,and then adjust the investment strategy to change the portfolio to achieve higher investment returns. |
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