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

Zeming Li; Athanasios Sakkas; Andrew Urquhart

doi:10.1016/j.finmar.2021.100619

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

Zeming Li, Athanasios Sakkas, Andrew Urquhart

School of Accounting and Finance - Business School

Research output: Contribution to journal › Article (Academic Journal) › peer-review

17 Citations (Scopus)

Original language	English
Article number	100619
Journal	Journal of Financial Markets
Early online date	21 Jan 2021
DOIs	https://doi.org/10.1016/j.finmar.2021.100619
Publication status	Published - Jan 2022

Bibliographical note

Funding Information:
? We thank Gideon Saar (the editor) and an anonymous referee for helpful comments. We would also like to thank Timotheos Angelidis, Nikolaos Antypas, Taufiq Choudhry, Efthimios Demirakos, Alfonso Dufour, Athanasios Episcopos, Dimitrios Georgoutsos, Chih-Ching Hung (discussant), Fred Liu (discussant), Frank McGroarty, Leonidas Rompolis, Nikolaos Tessaromatis, Andrianos Tsekrekos, Simone Varotto, Chardin Wese Simen and Yan Xu (discussant) for helpful suggestions, as well as conference participants at the 2019 British Accounting and Finance Association Corporate Finance & Asset Pricing Conference, the 2019 Paris Financial Management Conference, the 2020 Financial Management Association Virtual Conference, and the 60th Southern Finance Association Annual Meeting, and seminar participants at the Athens University of Economics and Business and the ICMA Centre at Henley Business School, University of Reading.

Publisher Copyright:
© 2021 Elsevier B.V.

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Cite this

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title = "Intraday time series momentum: Global evidence and links to market characteristics",

author = "Zeming Li and Athanasios Sakkas and Andrew Urquhart",

note = "Funding Information: ? We thank Gideon Saar (the editor) and an anonymous referee for helpful comments. We would also like to thank Timotheos Angelidis, Nikolaos Antypas, Taufiq Choudhry, Efthimios Demirakos, Alfonso Dufour, Athanasios Episcopos, Dimitrios Georgoutsos, Chih-Ching Hung (discussant), Fred Liu (discussant), Frank McGroarty, Leonidas Rompolis, Nikolaos Tessaromatis, Andrianos Tsekrekos, Simone Varotto, Chardin Wese Simen and Yan Xu (discussant) for helpful suggestions, as well as conference participants at the 2019 British Accounting and Finance Association Corporate Finance & Asset Pricing Conference, the 2019 Paris Financial Management Conference, the 2020 Financial Management Association Virtual Conference, and the 60th Southern Finance Association Annual Meeting, and seminar participants at the Athens University of Economics and Business and the ICMA Centre at Henley Business School, University of Reading. Publisher Copyright: {\textcopyright} 2021 Elsevier B.V.",

year = "2022",

month = jan,

doi = "10.1016/j.finmar.2021.100619",

language = "English",

journal = "Journal of Financial Markets",

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T1 - Intraday time series momentum: Global evidence and links to market characteristics

AU - Li, Zeming

AU - Sakkas, Athanasios

AU - Urquhart, Andrew

N1 - Funding Information: ? We thank Gideon Saar (the editor) and an anonymous referee for helpful comments. We would also like to thank Timotheos Angelidis, Nikolaos Antypas, Taufiq Choudhry, Efthimios Demirakos, Alfonso Dufour, Athanasios Episcopos, Dimitrios Georgoutsos, Chih-Ching Hung (discussant), Fred Liu (discussant), Frank McGroarty, Leonidas Rompolis, Nikolaos Tessaromatis, Andrianos Tsekrekos, Simone Varotto, Chardin Wese Simen and Yan Xu (discussant) for helpful suggestions, as well as conference participants at the 2019 British Accounting and Finance Association Corporate Finance & Asset Pricing Conference, the 2019 Paris Financial Management Conference, the 2020 Financial Management Association Virtual Conference, and the 60th Southern Finance Association Annual Meeting, and seminar participants at the Athens University of Economics and Business and the ICMA Centre at Henley Business School, University of Reading. Publisher Copyright: © 2021 Elsevier B.V.

PY - 2022/1

Y1 - 2022/1

U2 - 10.1016/j.finmar.2021.100619

DO - 10.1016/j.finmar.2021.100619

M3 - Article (Academic Journal)

SN - 1386-4181

JO - Journal of Financial Markets

JF - Journal of Financial Markets

M1 - 100619

ER -