Time Series Momentum and Reversal: Intraday Information From Realized Semivariance

54 Pages Posted: 22 May 2020 Last revised: 10 Oct 2022

See all articles by Zhenya Liu

Zhenya Liu

Renmin University of China; CERGAM, Aix-Marseille University

Shanglin Lu

University of International Business and Economics - School of Banking and Finance

Bo Li

Beijing International Studies University

Shixuan Wang

University of Reading - Department of Economics

Date Written: October 9, 2022

Abstract

The presence of time series momentum has been widely documented in financial markets across asset classes and countries. In this study, we find a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.

Keywords: Commodity Futures Pricing, Time Series Momentum, Momentum Reversal, Realized Semivariance, High-frequency Data

JEL Classification: G12, G17

Suggested Citation

Liu, Zhenya and Lu, Shanglin and Li, Bo and Wang, Shixuan, Time Series Momentum and Reversal: Intraday Information From Realized Semivariance (October 9, 2022). Available at SSRN: https://ssrn.com/abstract=3584014 or http://dx.doi.org/10.2139/ssrn.3584014

Zhenya Liu

Renmin University of China ( email )

School of Finance
Beijing, Beijing 100872
China

CERGAM, Aix-Marseille University ( email )

Aix-Marseille University
3 Avenue Robert Schuman,
Aix-en-Provence, 13628
France
0781668685 (Phone)

Shanglin Lu (Contact Author)

University of International Business and Economics - School of Banking and Finance ( email )

Beijing
China

Bo Li

Beijing International Studies University ( email )

Beijing, 100024
China

Shixuan Wang

University of Reading - Department of Economics ( email )

Reading, RG6 6EL
United Kingdom

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