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

Zeming Li, Athanasios Sakkas and Andrew Urquhart

Journal of Financial Markets, 2022, vol. 57, issue C

Abstract: 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.

Keywords: High-frequency trading; Intraday; International markets; Momentum; Market characteristics (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 G17 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x

DOI: 10.1016/j.finmar.2021.100619

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