Profitability of intraday and interday momentum strategies
Vincent Wing-Shing Lam,
Terence Tai Leung Chong () and
Wing-Keung Wong ()
Applied Economics Letters, 2007, vol. 14, issue 15, 1103-1108
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.
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