Time series momentum and reversal: Intraday information from realized semivariance

Zhenya Liu, Shanglin Lu, Bo Li and Shixuan Wang

Journal of Empirical Finance, 2023, vol. 72, issue C, 54-77

Abstract: 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.

Keywords: Commodity futures pricing; Time series momentum; Momentum reversal; Realized semivariance; High-frequency data (search for similar items in EconPapers)
JEL-codes: G12 G17 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77

DOI: 10.1016/j.jempfin.2023.03.001

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