Intraday return predictability: Based on intraday jumps and momentum

Recently, the predictability of intraday return is a hot topic in academic. Our paper explores the intraday return predictability of the Chinese stock market based on intraday jumps and momentum. The main findings are as follows. First, we use the LM jump test to obtain intraday jumps, which is used to predict intraday return, and then find it is useful. In detail, the prediction effect of the first and seventh half-hour to the last half-hour has significantly improved from a statistical view. Second, from an economic view, we find the intraday jumps can gain more economic values and own lower risk. Moreover, we find that jumps can obtain higher predictability during non-crisis, high volatility and middle volume. © 2021, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.