Intraday return predictability: Evidence from commodity ETFs and their related volatility indices

Using high-frequency data of crude oil, gold, and silver exchange-traded funds (ETFs) and their related volatility indices, we analyse patterns of intraday return predictability, also called intraday momentum, in each market. We find that intraday return predictability exists in all the markets, but...

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Detalles Bibliográficos
Autores principales: Xu, Yahua, Bouri, Elie, Saeed, Tareq, Wen, Zhuzhu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7480318/
https://www.ncbi.nlm.nih.gov/pubmed/34173420
http://dx.doi.org/10.1016/j.resourpol.2020.101830

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7480318/
https://www.ncbi.nlm.nih.gov/pubmed/34173420
http://dx.doi.org/10.1016/j.resourpol.2020.101830

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