Journal of Financial Studies: By employing intraday tick data due to big data concerns, we examine whether investors profit by day trading China Stock Index 300 Futures (C300F) as the C300F index rises (falls) over considerable points in a minute, which is defined as intraday large price change in this study. We argue that the intraday large price change would stimulate the sentiments of investors and even induce investors to trade the C300F. To the best of our knowledge, the aforementioned issue has not been examined in the relevant literature. Results reveal that investors are likely to make profits by taking short positions on the C300F right after the occurrence of the intraday large price change, except when the C300F falls from extremely high points like 20 points in a minute.
Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets | Request PDF. Available from: https://www.researchgate.net/publication/319663418_Do_Intraday_Large_Price_Changes_Matter_for_Trading_Index_Futures_Evidence_from_China_Futures_Markets [accessed Aug 08 2018].