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

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  • 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.

Suggested Citation

  • Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x
    DOI: 10.1016/j.finmar.2021.100619
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    More about this item

    Keywords

    High-frequency trading; Intraday; International markets; Momentum; Market characteristics;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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