Profitability of intraday and interday momentum strategies

Lam, Vincent Wing-Shing, Terence Tai Leung Chong () and Wing-Keung Wong ()

Applied Economics Letters, 2007, vol. 14, issue 15, pages 1103-1108

Abstract: In this article, we examine whether a day's surge or plummet in stock price serve as a market entry or exit signal. Returns of five trading rules based on 1-day and intraday momentum are estimated for major world stock indices. It is found that the trading rules perform well in the Asian indices but not in those of Europe and the United States.

Date: 2007

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