Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both
This paper reports evidence of intraday return predictability, consisting of both intraday
momentum and reversal, in the cryptocurrency market. Using high-frequency price data on …
momentum and reversal, in the cryptocurrency market. Using high-frequency price data on …
Which is more important in stock market forecasting: Attention or sentiment?
X Zhang, G Li, Y Li, G Zou, JG Wu - International Review of Financial …, 2023 - Elsevier
We examine the predictability of investors' attention and sentiment on four major stock
indexes' returns in China between 2008 and 2018. We create investors' attention and …
indexes' returns in China between 2008 and 2018. We create investors' attention and …
[HTML][HTML] Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market
X Chu, S Song - Borsa Istanbul Review, 2023 - Elsevier
In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share
market. Intraday reversals are shown to be robust with respect to seasonality, alternative …
market. Intraday reversals are shown to be robust with respect to seasonality, alternative …
The effects of overnight events on daytime trading sessions
H Ham, D Ryu, RI Webb - International Review of Financial Analysis, 2022 - Elsevier
This study investigates the association between overnight and daytime-trading session
returns in US equity markets over the last 14 years and interprets it using the overreaction …
returns in US equity markets over the last 14 years and interprets it using the overreaction …
Investor heterogeneity and momentum-based trading strategies in China
The conventional momentum strategy performs poorly overall in China, because stock
prices behave very differently when markets are open for trading versus when they are …
prices behave very differently when markets are open for trading versus when they are …
Intraday time‐series momentum: Evidence from China
This study conducts an investigation of intraday time‐series momentum across four Chinese
commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate …
commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate …
Oil price uncertainty and stock price informativeness: Evidence from listed US companies
Q Zhu, S **, Y Huang, C Yan - Energy Economics, 2022 - Elsevier
This paper examines the relationship between oil price uncertainty and stock price
information for managerial decision making. Under the investment-q sensitivity framework …
information for managerial decision making. Under the investment-q sensitivity framework …
Asymmetric trading restriction and return comovement
H Zhu, L Yang, B Zhang - … of International Financial Markets, Institutions and …, 2024 - Elsevier
This study decomposes the overall return comovement into intraday and overnight
comovement based on a model-free framework. It shows that intraday return comovement …
comovement based on a model-free framework. It shows that intraday return comovement …
Overnight returns, daytime reversals, and future stock returns: Is China different?
Abstract Akbas et al.(2021) demonstrate that a more intense daily “tug of war” between
overnight noise traders and daytime arbitrageurs predicts higher future returns in the US …
overnight noise traders and daytime arbitrageurs predicts higher future returns in the US …
Intraday momentum and return predictability: Evidence from the crude oil market
Intraday return predictability has firstly been identified in the equity markets, and we extend
the analysis to the crude oil market by using high-frequency United States Oil Fund data …
the analysis to the crude oil market by using high-frequency United States Oil Fund data …