Market Intraday Momentum: Evidence from TAIEX Futures

• Main Authors: I-Chih Liu, 劉奕志
• Other Authors: 李賢源
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/cx6e6a

碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === Based on the 30-minute trading price of the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures(TAIEX Futures) from 2001 to 2018, this study found that the TAIEX Futures have intraday momentum. In other words, there is a significant positive correlation between the first-half hour return and the last-half hour return. In addition, during the financial crisis, during high first-half hour volume days, during recession periods or during days with good news before the open of market, the TAIEX Futures would show stronger intraday momentum. The backtesting results of the trading strategies based on intraday momentum show that going long is more profitable than short selling, and has better performance on total return, investment efficiency and winning rate. Besides, when the first-half hour return is used as an indicator of entering the market, the total return and the investment efficiency of the strategy are better than the market.