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Applied Economics Letters Volume 14, 2007 - Issue 15
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Original Articles

Profitability of intraday and interday momentum strategies

Vincent Wing-Shing Lam Department of Economics, The Chinese University of Hong Kong, Hong Kong
,
Terence Tai-Leung Chong Department of Economics, The Chinese University of Hong Kong, Hong KongCorrespondence[email protected]
&
Wing-Keung Wong Department of Economics, National University of Singapore, Singapore
Pages 1103-1108 | Published online: 23 Nov 2007
 
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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.

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