Refining Intraday and Overnight Momentum with Turnover

Summary

This research summary examines whether trading volume, represented by turnover, can distinguish stronger from weaker stock momentum signals. It separates intraday price changes from overnight returns and reports different price-volume patterns for each. Within the intraday component, segments associated with higher same-day turnover are described as having stronger stock-selection ability. For overnight returns, the report links the signal to the relationship between the prior day’s turnover and the current day’s price move: lower prior turnover corresponds to a reversal effect, while higher prior turnover corresponds to momentum.

The authors adjust the intraday and overnight factors separately, then recombine them into a revised momentum factor. In a backtest of A-shares from January 2014 through July 2019, the summary reports an average IC of -0.055, annualized ICIR of -3.04, annualized long-short return of 18.7%, information ratio of 2.89, monthly win rate of 86.2%, and maximum drawdown of 6.33%. These are reported historical results; the supplied summary omits portfolio construction details, costs, robustness checks, and out-of-sample validation, so they do not establish future performance.

Key ideas

• Higher intraday turnover is reported to strengthen the stock-selection signal of intraday momentum.
• Overnight price changes are analyzed in relation to the previous day’s turnover.
• Low prior turnover is associated with reversal, while high prior turnover is associated with momentum.
• The study separately adjusts intraday and overnight factors before combining them.
• Reported A-share backtest results cover January 2014 through July 2019 and may not generalize beyond that sample.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.