Abstract
This paper examines the existence of a well documented Heston, Korajczyk, and Sadka (2010) (hereafter HKS 2010) intraday momentum pattern in the cross section of stock returns for three previously un-examined markets outside the US - UK, China and Brazil. While the stocks in UK and Brazil exhibit the pattern, the evidence from China is lacklustre. We utilize the presence of dual listed A-shares (dominated by domestic retail investors) and their B- and H-share counterparts (dominated by foreign institutional investors) of the same terms which provide a natural experiment setting to analyse the impact of investor clientele on the proliferation of HKS pattern. Our findings indicate that pattern is much weaker in A-shares (owned mostly by domestic retail investors) as compared to their B- and H- share counterparts. As a further robustness test we examine the impact of an exogenous shock that leads to an increase in institutional ownership namely the partial index inclusion of A-shares in the Morgan Stanley Capital International (MSCI) Emerging Markets Index. Our findings indicate an increasing level of the manifestation of the intraday pattern upon inclusion of A-shares to the MSCI.
| Original language | English |
|---|---|
| Journal | Review of Quantitative Finance and Accounting |
| Early online date | 29 Jul 2024 |
| DOIs | |
| Publication status | E-pub ahead of print - 29 Jul 2024 |
Bibliographical note
Copyright © The Author(s) 2024. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit https://creativecommons.org/licenses/by/4.0/Keywords
- Intraday momentum, Emerging markets , Investor Composition, and Limits of Arbitrage.