Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return
49 Pages Posted: 12 Mar 2015 Last revised: 16 Dec 2017
Date Written: June 28, 2015
Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. This intraday momentum is also strong for ten other most actively traded domestic and international ETFs. The trading behavior of daytraders and informed traders seems to be the driving force behind the intraday momentum.
Keywords: Predictability, Intraday, Momentum, Economic Value
JEL Classification: G11, G14
Suggested Citation: Suggested Citation