Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics

62 Pages Posted: 10 Oct 2019 Last revised: 8 Jan 2021

See all articles by Zeming Li

Zeming Li

University of Bristol

Athanasios Sakkas

Athens University of Economics and Business - Department of Accounting and Finance

Andrew Urquhart

University of Reading - ICMA Centre; ICMA Centre, Henley Business School

Date Written: September 20, 2019

Abstract

This paper studies 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 existing 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 analysis suggests that the ITSM is driven by both market microstructure and behavioral factors.

Keywords: High frequency trading, Intraday, International markets, Momentum, Market characteristics

JEL Classification: G11, G14, G15, G17

Suggested Citation

Li, Zeming and Sakkas, Athanasios and Urquhart, Andrew, Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics (September 20, 2019). Journal of Financial Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3460965 or http://dx.doi.org/10.2139/ssrn.3460965

Zeming Li (Contact Author)

University of Bristol ( email )

University of Bristol,
Senate House, Tyndall Avenue
Bristol, Avon BS8 ITH
United Kingdom

Athanasios Sakkas

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission Street
GR-104 34 Athens
Greece

Andrew Urquhart

University of Reading - ICMA Centre ( email )

ICMA Centre, Henley Business School ( email )

University of Reading
Whiteknights
Reading, Berkshire RG6 6BA
United Kingdom

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
1,137
Abstract Views
4,354
Rank
34,977
PlumX Metrics