Intraday Time Series Momentum: International Evidence
61 Pages Posted: 10 Oct 2019 Last revised: 15 Jan 2020
Date Written: September 20, 2019
This paper provides the first study of intraday time-series momentum (ITSM) in a global setting. By studying 16 developed markets, we show that ITSM is both economically and statistically significant around the world. Although global commonality across individual markets is limited, stronger regional commonality is observed. We also find that the US first half-hour return exhibits cross-country intraday predictability which is economically exploitable. A global equally-weighted ITSM portfolio generates significant alphas against global equity factors and a time-varying factor manifests as a major contributor. Finally, market micro-characteristics like liquidity provision and information continuity are shown to be associated with ITSM.
Keywords: High frequency trading, Intraday, International markets, Momentum
JEL Classification: G11, G14, G15, G17
Suggested Citation: Suggested Citation