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Time series momentum and reversal: Intraday information from realized semivariance

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  • Liu, Zhenya
  • Lu, Shanglin
  • Li, Bo
  • Wang, Shixuan

Abstract

The presence of time series momentum has been widely documented in financial markets across asset classes and countries. In this study, we find a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy in the out-of-sample data. The results are robust to different subsamples, lookback windows, volatility scaling, execution lag, and transaction cost.

Suggested Citation

  • Liu, Zhenya & Lu, Shanglin & Li, Bo & Wang, Shixuan, 2023. "Time series momentum and reversal: Intraday information from realized semivariance," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 54-77.
    • Handle: RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77
    DOI: 10.1016/j.jempfin.2023.03.001
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    Cited by:

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    More about this item

    Keywords

    Commodity futures pricing; Time series momentum; Momentum reversal; Realized semivariance; High-frequency data;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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