Market intraday momentum: APAC evidence

Manapon Limkriangkrai, Daniel Chai, Gaoping Zheng

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)


This study examines the market intraday momentum, where the first half-hour return predicts the last half-hour return, in exchange-traded funds (ETFs) from the selected Asia-Pacific (APAC) markets including China, Hong Kong, Japan, Singapore and South Korea. Intraday momentum is mainly evident in China and Japan. There is weak evidence of the momentum effect in South Korea, while Hong Kong and Singapore appear to have no intraday momentum. When both volatility and trading volume are considered, it is found that volatility has a stronger influence on intraday momentum than trading volume in the APAC markets. Finally, we show that the intraday momentum effect is weaker in the COVID-19 crisis period for the APAC markets that exhibit intraday momentum. Overall, the intraday momentum effect is not as pervasive in the APAC markets when compared to the US evidence.

Original languageEnglish
Article number102086
Number of pages13
JournalPacific Basin Finance Journal
Publication statusPublished - Sept 2023


  • Asia-Pacific (APAC) markets
  • COVID crisis
  • Intraday momentum
  • Return predictability

Cite this