Abstract: Based on the data of HS300 stock index futures, this paper conducts a test on the issue of intraday momentum effect of China’s stock markets. The empirical findings indicate that the return rate of HS300 stock index futures half an hour after the opening quotation has a significant positive correlation with that of half an hour before the closing quotation. Every time the return rate increases by 1 percent half an hour after the opening quotation, it will increase by 8.4 percent half an hour before the closing quotation. At the same time, it is found that during the trading days with higher volatility or higher trading volume or at the bull market, this kind of intraday momentum effect between half an hour after the opening quotation and half an hour before the closing quotation is even significant. Therefore, to construct investment strategy through the intraday momentum effect can gain better investment performance.

Key words: asset pricing; intraday momentum effect; HS300 stock index futures; revenue prediction