Abstract:
In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances of different sizes are used to identify investors. We find that large trades account for the highest proportion, and the large order imbalances reach a peak in the first half-hour of trading on a day. When we link intraday reversals to heterogeneous investors, we find that reversal strategies of traders with early information are responsible for intraday cross-sectional reversals.
