Market intraday momentum in Australia

We investigate whether the market intraday momentum reported by Gao et al. (2018) is observed in the Australian context. First, we use US data to validate our empirical method, documenting the same statistically significant positive relationship between first and last half-hour market returns that were reported by Gao et al. (2018). Despite this, our analysis using Australian data yields no statistically significant results and, as such, provides little evidence of intraday momentum in this market. Subsequent analyses suggest that the relatively small number of daily trades in the Australian market might explain our finding.