Research Article
Study on Intraday Momentum of Chinese Stock Market Based on R and Multiple Linear Regression Models
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327114, author={Zejian Deng and Yuchan Liu}, title={Study on Intraday Momentum of Chinese Stock Market Based on R and Multiple Linear Regression Models}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={r; multiple linear regression; stock return forecast; investment}, doi={10.4108/eai.18-11-2022.2327114} }- Zejian Deng
Yuchan Liu
Year: 2023
Study on Intraday Momentum of Chinese Stock Market Based on R and Multiple Linear Regression Models
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327114
Abstract
There has been much research on momentum, but most of them focused on the monthly or weekly frequency. Did the momentum also exist at the intraday level? To answer the question, we used R and multiple linear regression models to analyze the high-frequency trading data of the Chinese stock market and found that the returns of the first and seventh half-hour could significantly predict the returns of the last half-hour both in and out of the sample. Moreover, from the perspective of asset allocation and market timing, this intraday momentum has yielded considerable economic gains. In addition, a series of robustness tests were carried out to prove that intraday momentum was not an accidental phenomenon.
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