摘要
Gao et al. (2018)發現美國股市報酬率存在日內動能，即股市第一個半小時的日內報酬率(從前一天收盤至隔天上午十點)可以當日預測收盤前最後一個半小時的日內報酬率。Baltussen et al. (2021)提供進一步指出期貨市場(如股票指數、債券期貨、商品期貨及外幣期貨等)也存在日內動能現象：前日收盤到當日收盤前的第二個半小時之報酬率可正向預測當日收盤前最後半小時的報酬率。 本文利用中國滬深300指數自2015年6月至2021年12月的日內資料，探討中國股市是否也存在日內動能現象。本研究結果指出：首先，開盤後第一個半小時至倒數第二個半小時的報酬率對最後一個半小時的報酬率具有正向的預測能力，而此現象在新冠肺炎疫情期間更加明顯。第二，中國股市也存在反轉現象，即開盤後第一個半小時的日內報酬率與第二個半小時的日內報酬率呈現顯著負向的關係。最後，本文也發現中國股市具有隔夜動能現象，亦即不論疫情前、期間，隔夜報酬率都可以正向預測收盤前最後半小時的報酬率。以上研究結果有利於投資人根據這些市場異常現象進一步來建構相應的交易策略。
並列摘要
Gao et al. (2018) document a unique pattern of intraday momentum in the U.S. stock market. Using intraday returns on over 60 various futures (including bonds, commodities, currencies, and equities), Baltussen et al. (2021) further indicate strong market intraday momentum almost everywhere. The purpose of this thesis is to investigate the existence of intraday momentum in the Chinese stock market. Using intraday data of the Shanghai Shenzhen CSI 300 index (CSI 300) spanning from June 2015 to December 2021, we find significant evidence of intraday momentum pattern in the Chinese stock market. Specifically, the first half-hour intraday return that is measured from the market open significantly predicts the last half-hour one. We further find that the last half-hour return is positively predicted by the return during the rest of the day (from the open to the last 30 minutes). Finally, the overnight return has predictive power for the last half-hour return, suggesting the presence of an overnight momentum pattern. These results are robust to the COVID-19 pandemic period. Our findings are beneficial for common investors to further develop corresponding trading strategies based on these market anomalies.