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Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks

Author

Listed:
  • Tim A. Herberger

    (Andrássy University
    Bamberg University)

  • Matthias Horn

    (Bamberg University)

  • Andreas Oehler

    (Bamberg University)

Abstract

The success of trading strategies that lead to abnormal excess returns based on annual/monthly investment periods has recently declined significantly. We adopt the original frameworks of De Bondt and Thaler (J Finance 40(3):793–808, 1985) and Jegadeesh and Titman (J Finance 48(1):65–91, 1993) to an intraday reversal as well as momentum strategy scheme based on 5-min stock returns. We analyze 16 reversal and momentum strategies each with ranking and holding periods of 60, 120, 180 or 300 min (reversal strategies) and 15, 30, 45 or 60 min (momentum strategies) from a retail investor’s perspective. We find no indications for momentum in stock prices but strong indications for reversals. Our results are furtherly robust regarding to market adjustment, portfolio sizes and skipping periods between ranking and holding periods. Our results show that the returns of the reversal strategies are statistically significant, however, yet too small to be economically significant. Our results also confirm the efficiency on the stock markets.

Suggested Citation

  • Tim A. Herberger & Matthias Horn & Andreas Oehler, 2020. "Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 179-197, June.
    • Handle: RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00356-2
    DOI: 10.1007/s11408-020-00356-2
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    More about this item

    Keywords

    Intraday trading; Price reversals; Reversal strategies; Momentum strategies;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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