Market intraday momentum / by Lei Gao, Yufeng Han, Sophia Zhengzi Li & Guofu Zhou (Record no. 361368)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01314nam a22001697a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190323b xxu||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 0304-405X |
| 245 ## - TITLE STATEMENT | |
| Title | Market intraday momentum / by Lei Gao, Yufeng Han, Sophia Zhengzi Li & Guofu Zhou |
| Statement of responsibility, etc | Lei Gao, Yufeng Han, Sophia Zhengzi Li & Guofu Zhou |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | Pages 394-414 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Journal of Financial Economics |
| Volume number/sequential designation | 129 (2) |
| International Standard Serial Number | 0304-405X |
| 500 ## - GENERAL NOTE | |
| General note | Abstract<br/>Based on high frequency S & P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This predictability, which is 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. Intraday momentum also exists for ten other most actively traded domestic and international ETFs. Theoretically, the intraday momentum is consistent not only with Bogousslavsky’s (2016) model of infrequent portfolio rebalancing but also with a model of late-informed trading near the market close. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | High frequency trading |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Overnight return |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Intraday |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Predictability |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Item type | Periodicals |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | College Library | College Library | Periodical Section | 03/23/2019 | 03/23/2019 | 03/23/2019 | Periodicals |