Market Intraday Momentum Everywhere

Using intraday price data on more than 60 futures contracts on equity indices, bonds, commodities, and currencies over the past 45 years, we document a strong market intraday momentum \everywhere". The return during the last 30 minutes before the market close is positively predicted by the return during the rest of the day (from previous market close to just before the last 30 minutes). The predictive power is both statistically and economically highly significant and is mainly limited to the last half hour of a trading day. Extending the last 30 minute interval with intervals of the next trading days shows that, although there are some spillovers, this predictability disappears relatively quickly. In addition to the explanations put forth in Gao, Han, Li and Zhou (2018), we provide novel evidence that market makers' hedging demand is an important driver of market intraday momentum.