• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms. Fiona Chu
    • Abstracting/ Indexing:  CNKI, Google Scholar, Electronic Journals Library, Crossref, Ulrich's Periodicals Directory, MESLibrary, etc.
    • E-mail: joebm.editor@gmail.com
JOEBM 2022 Vol.10(6): 349-356 ISSN: 2301-3567
DOI: 10.18178/joebm.2022.10.6.724

Market Timing Signals with High-Frequency Finance Data for Practitioners Based on RRV Model and Momentum Effect

Chenyang Yu

Abstract—Based on high frequency data, we establish a method to measure the market risk using realized volatility, and study the momentum effect of intraday stock market. In the first part we establish relative realized volatility model to help investors better model and forecast volatility of the stock price by capturing large deviations from the average realized volatility level using the second-level financial data of Russell 1000 Large-Cap Stocks ETF. Next, we divide the trading data of DIA index for nearly 20 years in minute-level into non-crisis period, 2008 financial crisis period and the recent COVID-19 epidemic period. The effect of stock market momentum effect in these special periods is investigated, and the impact of COVID-19 on the stock market is analyzed in detail based on such effect. The results show that the intraday momentum effect will be more obvious in the economic crisis caused by financial system factors similar to the 2008 financial crisis, and in severe public event crises like COVID-19, the effect may reverse due to the digestion of market information and the influence of investor sentiment, but it will still maintain the normal positive momentum effect for part of the time.

Index Terms—High frequency data, realized volatility, intraday momentum effect.

Chenyang Yu is with the Jinhe Center for Economic Research, Xi’an Jiaotong University, China (e-mail: yuchenyangxjtu@126.com).


Cite:Chenyang Yu, "Market Timing Signals with High-Frequency Finance Data for Practitioners Based on RRV Model and Momentum Effect," Journal of Economics, Business and Management vol. 10, no. 6, pp. 349-356, 2022.

Copyright © 2022 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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