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Cross-market overnight time-series momentum

Author

Listed:
  • Xu, Dezhong
  • Li, Bin
  • Singh, Tarlok
  • Chen, Xiaoyue
  • Li, Jinze

Abstract

We propose a new cross-market overnight momentum: the US stock market’s last half-hour return predicts the next day’s first half-hour stock returns in international markets. This predictability is statistically significant both in- and out-of-sample. The corresponding cross-market overnight time-series momentum (COTSM) strategy shows economic significance in international stock markets investments. The COTSM strategy remains profitable with the consideration of transaction costs, and the profitability is driven by some specific market characteristics. The COTSM is strong when international market spread is low, or information uncertainty is high.

Suggested Citation

  • Xu, Dezhong & Li, Bin & Singh, Tarlok & Chen, Xiaoyue & Li, Jinze, 2025. "Cross-market overnight time-series momentum," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 105(C).
    • Handle: RePEc:eee:intfin:v:105:y:2025:i:c:s1042443125001295
    DOI: 10.1016/j.intfin.2025.102239
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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