Intraday Momentum in Chinese Stock Market — A Case Study of CSI 500

Abstract

Based on the China Stock Exchange 500 Index data from January 2, 2019, to December 29, 2020, this paper explores the intraday momentum model in the Chinese stock market: whether the market's first half-hour earnings measured by the closing price of the previous day can predict the last half-hour earnings, thus exploring whether there is an intraday momentum effect in the Chinese stock market and further reflecting the special trading mechanism of the Chinese stock market. We use the regression model to predict the data in the sample and the rolling window to predict the data out of the sample. The research conclusion shows that the stronger the volatility and the more trading volume, the stronger the forecasting ability.