Intraday Time Series Momentum: International Evidence

61 Pages Posted: 10 Oct 2019 Last revised: 15 Jan 2020

See all articles by Zeming Li

Zeming Li

University of Southampton

Athanasios Sakkas

University of Nottingham

Andrew Urquhart

ICMA Centre, Henley Business School

Date Written: September 20, 2019

Abstract

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

Li, Zeming and Sakkas, Athanasios and Urquhart, Andrew, Intraday Time Series Momentum: International Evidence (September 20, 2019). Available at SSRN: https://ssrn.com/abstract=3460965 or http://dx.doi.org/10.2139/ssrn.3460965

Zeming Li (Contact Author)

University of Southampton ( email )

University Rd.
Southampton SO17 1BJ, Hampshire SO17 1LP
United Kingdom

Athanasios Sakkas

University of Nottingham ( email )

Nottingham University Business School
Jubilee Campus
Nottingham, NG8 1BB
United Kingdom

Andrew Urquhart

ICMA Centre, Henley Business School ( email )

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

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