Název:	The impact of intraday momentum on stock returns: evidence from S&P500 and CSI300
Autoři:	Hossain, Saddam Gavurová, Beáta Yuan, Xianghui Hasan, Morshadul Oláh, Judit
Citace zdrojového dokumentu:	E+M. Ekonomie a Management = Economics and Management. 2021, roč. 24, č. 4, s. 124-141.
Datum vydání:	2021
Nakladatel:	Technická univerzita v Liberci
Typ dokumentu:	článek article
URI:	http://hdl.handle.net/11025/46501
ISSN:	1212-3609 (Print) 2336-5604 (Online)
Klíčová slova:	COVID-19;intradenní hybnost;akciový trh;předvídatelnost;volatilita a obchodované objemy
Klíčová slova v dalším jazyce:	COVID-19;intraday momentum;stock market;predictability;Volatility and Volume
Abstrakt v dalším jazyce:	This paper analyzes the statistical impact of COVID-19 on the S&P500 and the CSI300 intraday momentum. This study employs an empirical method, that is, the intraday momentum method used in this research. Also, the predictability of timing conditional strategies is also used here to predict the intraday momentum of stock returns. In addition, this study aims to estimate and forecast the coefficients in the stock market pandemic crisis through a robust standard error approach. The empirical findings indicate that the intraday market behavior an unusual balanced; the volatility and trading volume imbalance and the return trends are losing overwhelmingly. The consequence is that the first half-hour return will forecast the last half-hour return of the S&P500, but during the pandemic shock, the last half-hour of both stock markets will not have a significant impact on intraday momentum. Additionally, market timing strategy analysis is a significant factor in the stock market because it shows the perfect trading time, decides investment opportunities and which stocks will perform well on this day. Besides, we also found that when the volatility and volume of the S&P500 are both at a high level, the first half-hour has been a positive impact, while at the low level, the CSI300 has a negative impact on the last half-hour. In addition, this shows that the optimistic effect and positive outlook of the stockholders for the S&P500 is in the first half-hours after weekend on Monday morning because market open during the weekend holiday, and the mentality of every stockholder’s indicate the positive impression of the stock market.
Práva:	CC BY-NC 4.1
Vyskytuje se v kolekcích:	Číslo 4 (2021) Číslo 4 (2021)

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