Publication Date

2023

Document Type

Dissertation/Thesis

First Advisor

Hua, Lei

Degree Name

M.S. (Master of Science)

Legacy Department

Department of Statistics and Actuarial Science

Abstract

Using a cross section of stocks that have high frequency trading data from 2007 to 2018, we document whether various intraday momentum patterns found in the financial literature over the years continue to hold over time. The first half hour return on the market is often seen as having predictive power over the last half hour of trading, or overnight returns are thought to reverse in the next day's first half hour of trading. We find that while there is some evidence for these patterns, especially in the earlier years, these patterns tend to weaken over time as investors take advantage of these opportunities. However, overnight returns still seem to have a predictable reversal in the first half hour of trading, even in later years.

Extent

123 pages

Language

eng

Publisher

Northern Illinois University

Rights Statement

In Copyright

Rights Statement 2

NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.

Media Type

Text

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