Time series momentum and reversal: intraday information from realized semivariance

Liu, Z., Lu, S., Li, B. and Wang, S. ORCID: https://orcid.org/0000-0003-2113-5521 (2023) Time series momentum and reversal: intraday information from realized semivariance. Journal of Empirical Finance, 72. pp. 54-77. ISSN 0927-5398 doi: 10.1016/j.jempfin.2023.03.001

Abstract/Summary

The presence of time series momentum has been widely documented in financial markets across asset classes and countries. In this study, we find a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/111035
Identification Number/DOI	10.1016/j.jempfin.2023.03.001
Refereed	Yes
Divisions	Arts, Humanities and Social Science > School of Politics, Economics and International Relations > Economics
Publisher	Elsevier
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