Interday Cross-Sectional Momentum: Global Evidence and Determinants
We examine whether half-hour returns predict half-hour returns on subsequent days at the firm level, using a novel set of high-frequency data on firms that constitute the stock market indices of nine developed markets. We show that interday cross-sectional momentum (ICSM) exists in all markets of ou...
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| Asıl Yazarlar: | , |
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| Materyal Türü: | Article ou chapitre numérique |
| Dil: | Français |
| Baskı/Yayın Bilgisi: |
2026
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| Konular: | |
| Online Erişim: | Accès Université d'Orléans et IFPM Accès Université d'Orléans et IFPM |
| Özet: | We examine whether half-hour returns predict half-hour returns on subsequent days at the firm level, using a novel set of high-frequency data on firms that constitute the stock market indices of nine developed markets. We show that interday cross-sectional momentum (ICSM) exists in all markets of our sample. It is most pronounced during the last half hour of a trading day. In the previously studied U.S. market, ICSM has become weaker. Based on trading motives derived from the literature, we propose and test four hypotheses that link the strength of ICSM in the last half hour to firm-level market characteristics. We find that ICSM is stronger when volatility is low, and absolute overnight returns are small, while liquidity has no significant effect. Finally, we show that international investors can save transaction costs of economically significant size by strategically timing trades based on ICSM. JEL Classification: D4, D82, G14, G15 |
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