LAUSR

Abstract In this paper, we study whether the intraday momentum exists in Chinese commodity futures markets. We first construct an open-interest-weighted index with the high-frequency data of all commodity futures traded and then examine the predictability of the last half-hour return with both in-sample and out-of-sample tests. Consistent with findings in other markets, we show that the first half-hour return can readily predict the last half-hour return. We further demonstrate that the magnitude of this intraday momentum varies with volatility, trading volume, trade size, the sign of the first half-hour return, the type of commodity futures, and the launch of night trading. Additionally, this intraday momentum does not result from data snooping but has economic significance and remains robust under different index weighting and predictor calculation methods.