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

Li, Zeming; Sakkas, Athanasios; Urquhart, Andrew

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.

Citation

Li, Z., Sakkas, A., & Urquhart, A. (2022). Intraday time series momentum: Global evidence and links to market characteristics. Journal of Financial Markets, 57, Article 100619. https://doi.org/10.1016/j.finmar.2021.100619

• Journal Article Type: Article
• Acceptance Date: Jan 8, 2021
• Online Publication Date: Jan 21, 2021
• Publication Date: Jan 1, 2022
• Deposit Date: Jan 28, 2021
• Publicly Available Date: Jul 22, 2022
• Journal: Journal of Financial Markets
• Print ISSN: 1386-4181
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 57
• Article Number: 100619
• DOI: https://doi.org/10.1016/j.finmar.2021.100619
• Keywords: high-frequency trading; intraday; international markets; momentum; market characteristics
• Public URL: https://nottingham-repository.worktribe.com/output/5273197
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S138641812100001X