本研究利用波動率指數期貨之日內資料來檢驗日內動能現象是否存在，而日內動能的定義為開盤後30分鐘之報酬率對收盤前30分鐘之報酬率具有正向預測力。而本研究樣本期間為2006年1月2日至2015年8月31日，而實證結果指出日內動能現象確實存在，且當波動度愈高抑或成交量愈高時，該預測力會愈強。另外，日內動能現象不僅於統計上顯著，在實際交易市場上亦成立，本研究藉由開盤後30分鐘報酬率對收盤前30分鐘報酬率之預測力所建構的擇時交易策略，發現無論加入交易成本與否，其表現皆優於基準策略。最終，本研究亦發現日內動能現象之所以存在，較有可能由流動性所造成，而非資訊交易。

In our study, we examine the existence of the intraday momentum, which the first 30-minute interval return can positively predict the last 30-minute interval return, by using the VIX futures data at tick frequency. The sample period is from January 2, 2006 to August 31, 2015. Our result indicates that the intraday momentum indeed exists while the predictive power becomes stronger when volatility is high or when trading volume is relatively high. Furthermore, the first 30-minute interval return is a significant predictor not only statistically but also in practice. The performance of our market timing strategies, which are constructed based on the predictability of the first 30-minute interval return, is better than benchmark strategies no matter we consider the transaction costs or not. Finally, our result also shows that the intraday momentum is more likely driven by liquidity, not informed trading.

論文審定書 i
摘要 ii
Abstract iii
1. Introduction 1
2. Literature Reviews 3
3. Data 6
3.1 Sample 6
3.2 Summary Statistics 8
4. Methodology 9
4.1 Intraday Momentum 9
4.2 Out-of-Sample Predictability 10
4.3 Market Timing Strategies 13
4.4 Risk-adjusted Return of Trading Strategies 15
4.5 Intraday Momentum and Informed Trading 17
4.6 Intraday Momentum and Liquidity Provision 19
5. Empirical Results 21
5.1 Intraday Momentum in VIX futures 21
5.2 Predictability and Financial Crisis 22
5.3 Predictability and Extended Trading Hours 23
5.4 Impact of Volatility and Volume on Intraday Momentum 25
5.5 Impact of Trade Size and Liquidity on Intraday Momentum 27
5.6 Intraday Momentum around Macroeconomic News Releases 28
5.7 Market Timing Strategies 30
5.8 Risk-adjusted Return of Trading Strategies 32
5.9 Disentangling Liquidity and Informed Trading 33
6. Robustness Check 35
6.1 Intraday Momentum on different Return Frequencies 35
6.2 Market Timing Strategies with Transaction Costs 36
6.3 Alternative Liquidity Estimation Method 37
7. Conclusion 38
Reference 40
Appendix 60

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