PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.Design/methodology/approachIn this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.FindingsOverall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.Originality/valueNoise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.
Capital Flows in Risky Times: Risk-on / Risk-off and Emerging Market Tail Risk