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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| פורמט: | Article ou chapitre numérique |
| שפה: | Français |
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2026
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| גישה מקוונת: | Accès Université d'Orléans et IFPM Accès Université d'Orléans et IFPM |
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cairn-FINA_PR_048FINAFinance https://shs.cairn.info/journal-finance-2026-1-page-97?lang=en https://doi.org/10.3917/fina.pr.048 Interday Cross-Sectional Momentum: Global Evidence and Determinants Schlie, SebastianZhou, Xiaozhou2026 interday momentumintraday return patternliquidityovernight returnprice efficiencyfre Finance | 47 | 1 | 2026-02-17 | p. 97-141 | 0752-6180 FINA_47182 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, G15Nous examinons si les rendements de demi-heure permettent de prédire ceux observés aux mêmes intervalles les jours suivants, au niveau des entreprises, à partir d’un nouvel ensemble de données haute fréquence couvrant les sociétés qui composent les indices boursiers de neuf marchés développés. Nous montrons que le momentum inter-journées en coupe transversale (ICSM) existe dans tous les marchés de notre échantillon, et qu’il est le plus prononcé au cours de la dernière demi-heure de négociation. Sur le marché américain, auparavant étudié, l’ICSM s’est affaibli. En nous appuyant sur les motifs de transaction identifiés dans la littérature, nous proposons et testons quatre hypothèses reliant l’intensité de l’ICSM observée dans la dernière demi-heure aux caractéristiques de marché propres aux entreprises. Nous constatons que l’ICSM est plus prononcé lorsque la volatilité est faible et que les rendements absolus nocturnes sont faibles, alors que la liquidité n’a pas d’effet significatif. Enfin, nous montrons que les investisseurs peuvent réduire de façon économiquement significative leurs coûts de transaction en choisissant stratégiquement le moment de leurs transactions sur la base de l’ICSM.Cairn restricted access |
| language |
Français |
| format |
Article ou chapitre numérique |
| building |
0/Bibliothèque numérique/ 1/Bibliothèque numérique/Cairn/ |
| topic |
interday momentum intraday return pattern liquidity overnight return price efficiency |
| spellingShingle |
interday momentum intraday return pattern liquidity overnight return price efficiency Schlie, Sebastian Zhou, Xiaozhou Interday Cross-Sectional Momentum: Global Evidence and Determinants |
| topic_facet |
interday momentum intraday return pattern liquidity overnight return price efficiency |
| description |
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 |
| author |
Schlie, Sebastian Zhou, Xiaozhou |
| author_facet |
Schlie, Sebastian Zhou, Xiaozhou |
| author_sort |
Schlie, Sebastian |
| title |
Interday Cross-Sectional Momentum: Global Evidence and Determinants |
| title_short |
Interday Cross-Sectional Momentum: Global Evidence and Determinants |
| title_full |
Interday Cross-Sectional Momentum: Global Evidence and Determinants |
| title_fullStr |
Interday Cross-Sectional Momentum: Global Evidence and Determinants |
| title_full_unstemmed |
Interday Cross-Sectional Momentum: Global Evidence and Determinants |
| title_sort |
interday cross-sectional momentum: global evidence and determinants |
| publishDate |
2026 |
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| url |
https://ezproxy.univ-orleans.fr/login?url=https://shs.cairn.info/journal-finance-2026-1-page-97?lang=en https://ezproxy.univ-orleans.fr/login?url=https://doi.org/10.3917/fina.pr.048 |
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