RT Journal Article
SR Electronic
T1 The Early Bird Catches the Intraday Trend
JF The Journal of Investing
FD Institutional Investor Journals
SP 47
OP 75
DO 10.3905/joi.2021.1.209
VO 31
IS 1
A1 Jérôme Gava
A1 Roxton McNeal
A1 Julien Turc
YR 2021
UL https://pm-research.com/content/31/1/47.abstract
AB Large movements during the night tend to have a lasting influence on the next trading session. By following the resulting trends, investors can benefit from fluctuations in the returns of major equity indices during the trading session. This study extends recent research on late-day trading and shows that trends are best caught early during the day. Intraday patterns are revealed using machine learning techniques, and new evidence on the origin of trends is presented. The defensive nature of intraday trend strategies is illustrated by considering the business cycle, investigating correlation with government bonds, and simulating the impact on a multi-asset portfolio.