Journal of Financial Markets ( IF 2.1 ) Pub Date : 2021-01-21 , DOI: 10.1016/j.finmar.2021.100619 Zeming Li 1 , Athanasios Sakkas 2 , Andrew Urquhart 3
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.
中文翻译:
日内时间序列动量:全球证据和与市场特征的联系
我们通过使用 16 个发达市场的高频数据来检验国际环境中的日内时间序列动量 (ITSM)。我们表明,在大多数国家,ITSM 在样本内和样本外都具有经济规模和统计显着性。基于投资者行为理论,我们提出并检验了四个假设,以揭示 ITSM 盈利能力的来源。我们在横截面和时间序列维度上都记录了当流动性低、波动性高和新信息离散时 ITSM 更强。总体而言,我们的结果表明,ITSM 是由市场微观结构和行为因素共同驱动的。