Time series momentum and reversal: Intraday information from realized semivariance

46 Pages Posted: 22 May 2020 Last revised: 24 Feb 2021

See all articles by Zhenya Liu

Zhenya Liu

Renmin University of China; CERGAM, Aix-Marseille University

Shanglin Lu

Renmin University of China - School of Finance

Bo Li

Beijing International Studies University

Shixuan Wang

University of Reading - Department of Economics

Date Written: April 25, 2020

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 for different subsamples and various lookback windows.

Keywords: Asset 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 (April 25, 2020). 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)

Renmin University of China - School of Finance ( email )

Ming De Main Building
Renmin University of China
Beijing, Beijing 100872
China

Bo Li

Beijing International Studies University ( email )

Beijing, 100024
China

Shixuan Wang

University of Reading - Department of Economics ( email )

Reading, RG6 6AA
United Kingdom

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