Profitability of intraday and interday momentum strategies
AbstractIn this article, we examine whether a day's surge or plummet in stock price serve as a market entry or exit signal. Returns of five trading rules based on 1-day and intraday momentum are estimated for major world stock indices. It is found that the trading rules perform well in the Asian indices but not in those of Europe and the United States.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 14 (2007)
Issue (Month): 15 ()
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Web page: http://www.tandfonline.com/RAEL20
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- Michael McAleer & John Suen & Wing Keung Wong, 2013.
"Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis,"
Working Papers in Economics
13/20, University of Canterbury, Department of Economics and Finance.
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