Intraday time series momentum: Global evidence and links to market characteristics

Zeming Li; Athanasios Sakkas; Andrew Urquhart

doi:10.1016/j.finmar.2021.100619

Intraday time series momentum: Global evidence and links to market characteristics

Zeming Li, Athanasios Sakkas, Andrew Urquhart^*

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › peer-review

Abstract

We examine 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 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 results suggest that the ITSM is driven by both market microstructure and behavioral factors.

Original language	English
Article number	100619
Number of pages	20
Journal	Journal of Financial Markets
Volume	57
Early online date	21 Jan 2021
DOIs	https://doi.org/10.1016/j.finmar.2021.100619
Publication status	Published - Jan 2022

Keywords

High-frequency trading
Intraday
International markets
Momentum
Market characteristics

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10.1016/j.finmar.2021.100619Licence: None: All rights reserved

Cite this

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title = "Intraday time series momentum: Global evidence and links to market characteristics",

abstract = "We examine 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 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 results suggest that the ITSM is driven by both market microstructure and behavioral factors.",

keywords = "High-frequency trading, Intraday, International markets, Momentum, Market characteristics",

author = "Zeming Li and Athanasios Sakkas and Andrew Urquhart",

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doi = "10.1016/j.finmar.2021.100619",

language = "English",

volume = "57",

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T2 - Global evidence and links to market characteristics

AU - Li, Zeming

AU - Sakkas, Athanasios

AU - Urquhart, Andrew

PY - 2022/1

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N2 - We examine 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 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 results suggest that the ITSM is driven by both market microstructure and behavioral factors.

AB - We examine 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 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 results suggest that the ITSM is driven by both market microstructure and behavioral factors.

KW - High-frequency trading

KW - Intraday

KW - International markets

KW - Momentum

KW - Market characteristics

U2 - 10.1016/j.finmar.2021.100619

DO - 10.1016/j.finmar.2021.100619

M3 - Article

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JO - Journal of Financial Markets

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