Intraday time series momentum: Global evidence and links to market characteristics
(2021)
Journal Article
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
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.... Read More about Intraday time series momentum: Global evidence and links to market characteristics.