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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- Wong, Wing-Keung & McAleer, Michael, 2009. "Mapping the Presidential Election Cycle in US stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(11), pages 3267-3277.
- Michael McAleer & John Suen & Wing Keung Wong, 2013.
"Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis,"
Tinbergen Institute Discussion Papers
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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.
- Michael McAleer & John Suen & Wing Keung Wong, 2013. "Profiteering from the Dot-com Bubble, Sub-Prime Crisis and Asian Financial Crisis," KIER Working Papers 869, Kyoto University, Institute of Economic Research.
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