Abstract
In this paper, we explore bond intraday momentum. By utilizing high-frequency data from the Chinese Treasury bond futures market, we find that the first fifteen-minute return is a good predictor of the last fifteen-minute return. The predictive power of the first fifteen-minute return is stronger on trading days with low trading volume, high trading volatility, positive first fifteen-minute return, and no news release ahead of the trading period. The economic significance of this intraday momentum is also demonstrated by measuring the profits earned through market timing and assessing the difference of certainty equivalent return. Also, this intraday momentum is robust to different bond futures and different predictor construction methods.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
