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.

中文翻译：

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澳大利亚市场盘中动能

我们调查了高等人报告的市场盘中动量。（2018）是在澳大利亚的背景下观察到的。首先，我们使用美国的数据来验证我们的经验方法，并记录高等人报告的头半小时和最后半小时市场收益之间的统计上显着的正相关。（2018）。尽管如此，我们使用澳大利亚数据进行的分析未产生任何统计上显着的结果，因此，几乎没有提供该市场盘中动量的证据。随后的分析表明，澳大利亚市场上相对较少的每日交易可能解释了我们的发现。