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

Zeming Li, Athanasios Sakkas, Andrew Urquhart

Research output: Contribution to journalArticle (Academic Journal)peer-review

11 Citations (Scopus)
Original languageEnglish
Article number100619
JournalJournal of Financial Markets
Early online date21 Jan 2021
Publication statusPublished - 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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