Intraday time series momentum: global evidence and links to market characteristics

Li, Z., Sakkas, A. and Urquhart, A. ORCID: https://orcid.org/0000-0001-8834-4243 (2022) Intraday time series momentum: global evidence and links to market characteristics. Journal of Financial Markets, 57. 100619. ISSN 1386-4181 doi: 10.1016/j.finmar.2021.100619

Abstract/Summary

We examine intraday time series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. We show that ITSM is economically sizable and statistically significant both in- and out-of-sample in most countries. Based on theories of investor behavior, we propose and test four hypotheses to reveal the source of ITSM profitability. We document both in the cross-section and time series dimension that ITSM is stronger when liquidity is low, volatility is high, and new information is discrete. Overall, our results suggest that the ITSM is driven by both market microstructure and behavioral factors.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/95566
Identification Number/DOI	10.1016/j.finmar.2021.100619
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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