PT - JOURNAL ARTICLE AU - Min-Yuh Day AU - Paoyu Huang AU - Yensen Ni AU - Yuhsin Chen TI - Do Implicit Phenomena Matter? <em>Evidence from China Stock Index Futures</em> AID - 10.3905/jai.2018.1.062 DP - 2018 Jun 08 TA - The Journal of Alternative Investments PG - jai.2018.1.062 4099 - https://pm-research.com/content/early/2018/06/11/jai.2018.1.062.short 4100 - https://pm-research.com/content/early/2018/06/11/jai.2018.1.062.full AB - The CSI 300 Futures (CSI300F) index rises (falls) implicitly in five consecutive minutes; this rise (fall) is defined as the implicit rising (falling) phenomena in this article. Owing to big data concerns, the authors explore whether investors would profit when the implicit rising (falling) phenomena occur – events which exist in practice, but remain unexplored in the literature. In this study, they reveal that implicit rising (falling) phenomena might trigger the rise (fall) of the CSI300F index, which implies that momentum strategies may be appropriate for trading the CSI300F as the implicit phenomena occurs. The authors suspect that implicit phenomena could be the manipulation trace of investors with market force and even insiders. Thus, they argue that investors should consider these results when trading index futures.