Does intraday time-series momentum exist in Chinese stock index futures market?

In this paper, we investigate the intraday momentum in the Chinese stock index futures market. By conducting both in-sample and out-of-sample tests, we find that the first trading-session return can significantly predict the last trading-session return, especially when defining the trading session at the 60 min level. The intraday momentum is stronger on days with high volume, volatility, and investor attention. And the intraday momentum strategies yield substantial returns per year and utility gains for investors. Our results are robust to alternative index futures, alternative sample period and the sign of first trading-session return.