Cross-market overnight time-series momentum

IF 6 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-12-01 Epub Date: 2025-10-21 DOI:10.1016/j.intfin.2025.102239

Dezhong Xu , Bin Li , Tarlok Singh , Xiaoyue Chen , Jinze Li

引用次数: 0

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.

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跨市场隔夜时间序列动量

我们提出了一种新的跨市场隔夜势头：美国股市最后半小时的回报预测了第二天国际市场第一个半小时的股票回报。这种可预测性在样本内和样本外都具有统计学意义。相应的跨市场隔夜时间序列动量（COTSM）策略在国际股票市场投资中具有经济意义。考虑到交易成本，COTSM策略仍然是盈利的，盈利能力是由一些特定的市场特征驱动的。当国际市场价差较低或信息不确定性较高时，COTSM强势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

期刊介绍： International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.