Market Intraday Momentum-Evidence from Taiwan ETF 0050

• Main Authors: Tsung-Han Lee, 李宗翰
• Other Authors: 何耕宇
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/7d3xa7

碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === Using Taiwan ETF 0050 as an example, this paper examines the intraday momentum effect of Taiwan ETF market. The sample period ranges from 2003 to 2016. This paper finds that the first-half hour return as measured from the previous day’s market close can significantly explain the last half hour return, and such momentum effect is stronger on high trading volume and volatility days, recession period, January and days when good news release. Such intraday momentum may not be applicable to the situation of 2008 Financial Crisis. This paper shares the same view with Gao, Han, Li and Zhou (2018) and Admati and Pfleiderer (1988). When it comes to explaining the intraday momentum effect, Gao, Han, Li and Zhou (2018) attributes intraday momentum to late-informed trader effect；Admati and Pfleiderer (1988) mentions that informed traders tend to trade at the period when liquidity traders trade the most. Besides, such intraday momentum effect may be explained by investor’s behavior in futures market: Late informed traders can confirm the price information implied by specific event that happened early by observing the offsetting positions in the futures market, and then trade in the last half hour, causing intraday momentum to occur.