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Profitability of intraday and interday momentum strategies

Author

Listed:
  • Vincent Wing-Shing Lam
  • Terence Tai-Leung Chong
  • Wing-Keung Wong

Abstract

In 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.

Suggested Citation

  • Vincent Wing-Shing Lam & Terence Tai-Leung Chong & Wing-Keung Wong, 2007. "Profitability of intraday and interday momentum strategies," Applied Economics Letters, Taylor & Francis Journals, vol. 14(15), pages 1103-1108.
  • Handle: RePEc:taf:apeclt:v:14:y:2007:i:15:p:1103-1108
    DOI: 10.1080/13504850600606067
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    Citations

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    Cited by:

    1. Michael McAleer & John Suen & Wing Keung Wong, 2016. "Profiteering from the Dot-Com Bubble, Subprime Crisis and Asian Financial Crisis," The Japanese Economic Review, Japanese Economic Association, vol. 67(3), pages 257-279, September.
    2. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Econometric Institute Research Papers EI 2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. 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.
    4. repec:ebl:ecbull:eb-17-00734 is not listed on IDEAS
    5. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Tinbergen Institute Discussion Papers 18-024/III, Tinbergen Institute.

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