Intraday momentum in Chinese commodity futures markets
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DOI: 10.1016/j.ribaf.2020.101278
Abstract: 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… read more here.
Keywords: futures markets; chinese commodity; half hour; commodity futures ... See more keywords