The impact of intraday momentum on stock returns: evidence from S&P500 and CSI300

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dc.contributor.authorHossain, Saddam
dc.contributor.authorGavurová, Beáta
dc.contributor.authorYuan, Xianghui
dc.contributor.authorHasan, Morshadul
dc.contributor.authorOláh, Judit
dc.date.accessioned2021-12-22T08:06:49Z
dc.date.available2021-12-22T08:06:49Z
dc.date.issued2021
dc.description.abstract-translatedThis 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.en
dc.format18 s.cs
dc.format.mimetypeapplication/pdf
dc.identifier.citationE+M. Ekonomie a Management = Economics and Management. 2021, roč. 24, č. 4, s. 124-141.cs
dc.identifier.doihttps://doi.org/10.15240/tul/001/2021-4-008
dc.identifier.issn1212-3609 (Print)
dc.identifier.issn2336-5604 (Online)
dc.identifier.urihttp://hdl.handle.net/11025/46501
dc.language.isoenen
dc.publisherTechnická univerzita v Libercics
dc.rightsCC BY-NC 4.1en
dc.rights.accessopenAccessen
dc.subjectCOVID-19cs
dc.subjectintradenní hybnostcs
dc.subjectakciový trhcs
dc.subjectpředvídatelnostcs
dc.subjectvolatilita a obchodované objemycs
dc.subject.translatedCOVID-19en
dc.subject.translatedintraday momentumen
dc.subject.translatedstock marketen
dc.subject.translatedpredictabilityen
dc.subject.translatedVolatility and Volumeen
dc.titleThe impact of intraday momentum on stock returns: evidence from S&P500 and CSI300en
dc.typečlánekcs
dc.typearticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen

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