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Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index

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  • Chien-Yuan Lai

    (Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan)

  • Zhen-Yu Lin

    (Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan)

  • Cheoljun Eom

    (School of Business, Pusan National University, Busan 46241, Korea)

  • Ping-Chen Tsai

    (Department of Finance, National Sun Yat-sen University, Kaohsiung 804, Taiwan)

Abstract

Evidence on Market Intraday Momentum (MIM) has been documented in the United states and in some, but not all, major economies. The main results on MIM are broadly robust against transaction costs, which are measured by either quoted spread or effective spread. By using two new spread measures obtained from high and low prices, we show that these measures of transaction cost tend to become smaller toward the end of a trading day, thus establishing MIM in more than 10 years of the 30 min KOSPI index. We also report the solid profitability of such MIM-based trading strategies.

Suggested Citation

  • Chien-Yuan Lai & Zhen-Yu Lin & Cheoljun Eom & Ping-Chen Tsai, 2022. "Market Intraday Momentum with New Measures for Trading Cost: Evidence from KOSPI Index," JRFM, MDPI, vol. 15(11), pages 1-12, November.
    • Handle: RePEc:gam:jjrfmx:v:15:y:2022:i:11:p:523-:d:966717
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    References listed on IDEAS

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