Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index

Chien-Yuan Lai, Zhen-Yu Lin, Cheoljun Eom and Ping-Chen Tsai ()
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Chien-Yuan Lai: Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan
Zhen-Yu Lin: Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan
Cheoljun Eom: School of Business, Pusan National University, Busan 46241, Korea
Ping-Chen Tsai: Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan

JRFM, 2022, vol. 15, issue 11, 1-12

Abstract: Evidence on Market Intraday Momentum (MIM) has been documented in the United states and in some, but not all, major economies. The main results on MIM are broadly robust against transaction costs, which are measured by either quoted spread or effective spread. By using two new spread measures obtained from high and low prices, we show that these measures of transaction cost tend to become smaller toward the end of a trading day, thus establishing MIM in more than 10 years of the 30 min KOSPI index. We also report the solid profitability of such MIM-based trading strategies.

Keywords: market intraday momentum; transaction costs; effective spread; intraday pattern; range (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2022
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