Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks

Herberger, Tim Alexander; Horn, Matthias; Oehler, Andreas

doi:10.1007/s11408-020-00356-2

Cited by 7 publications

(13 citation statements)

References 43 publications

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“…Research in Germany by [10] reveals different results, and there is no indication of using a momentum strategy in the German capital market but rather a contrarian strategy. Even though they are not economically significant, they indicate that the German capital market tends to be efficient.…”

Section: A Current Research On Strategic Momentum In the American And European Capital Marketsmentioning

confidence: 94%

A Review of Momentum Strategy in Capital Market

Syamni¹,

Wardhiah²,

Sari³

et al. 2021

Proceedings of the International Conference on Social Science, Political Science, and Humanities (ICoSPOLHUM 2020)

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This research is a literature research review that focuses on the topic of the momentum strategy in the capital market. This strategy is a trading strategy carried out by investors by buying stocks that have performed well in the hope that the performance will continue well in the future. The results of the study show that most of the capital market investors carried out a momentum strategy even though the implementation is still inconsistent. It indicates that the development of several capital markets leads to inefficient markets.

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Section: A Current Research On Strategic Momentum In the American And European Capital Marketsmentioning

confidence: 94%

A Review of Momentum Strategy in Capital Market

Syamni¹,

Wardhiah²,

Sari³

et al. 2021

Proceedings of the International Conference on Social Science, Political Science, and Humanities (ICoSPOLHUM 2020)

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“…All strategies generate significant positive market-adjusted returns, meaning that the price of the stock bought due to the reversal strategy rose more than the market proxy, especially for the reversal strategy ranking 180 minutes to pick up losers and holding 60 minutes perform best. Nevertheless, Herberger et al [25] point out that the strategies' returns are insufficient to cover the transaction fees XETRA charges.…”

Section: Plos Onementioning

confidence: 99%

“…Herberger et al [25] extend the intraday reversal and momentum strategies explored in De Bondt and Thaler [1] and Jegadeesh and Titman [7] by shortening the time horizon to intraday trading. To do so, 16 reversal and 16 momentum strategies with ranking periods and holding periods of 60, 120, 180, or 300 minutes in the case of reversal strategies and 15, 30, 45, or 60 minutes in the case of momentum strategies among German blue chip stocks traded on XETRA are…”

Section: Introductionmentioning

confidence: 99%

Extending the Omega model with momentum and reversal strategies to intraday trading

Yu,

Wei,

Lai

et al. 2023

PLoS ONE

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This study develops the Omega model integrated with momentum and reversal strategies using high-frequency data on the component stocks of the S&P 500 Index and the NASDAQ 100. The Omega model based on the momentum strategy (M_Omega), the reversal strategy (R_Omega), and both strategies (M_R_Omega) are designed to simulate trading over three periods. The portfolio is rebalanced every transaction day to optimize asset allocation by incorporating intraday winners or losers’ information and trading cost. The study finds that the proposed models generate positive returns (net of trading costs), in spite of fact that intraday trading frequently erodes profits. The M_Omega and R_Omega models produce a higher return than that of the S&P 500 index or NASDAQ 100 index, considering the intraday trading cost. The performance of the Omega model integrated with the momentum or reversal strategy is more profitable in a volatile market or period. The M_Omega and R_Omega reach the highest final market value from 2020 to 2021, when COVID 19 pandemic emerged. The rebalancing of the momentum or reversal strategy is suitable for the short term but not recommended in the long term for intraday trading as the trading costs become increasingly significant over time.

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“…Berggrun et al (2020) Stock exchanges in Latin American countries finds that the return expected by investors is only possible when investors control the influence of market size and value. Herberger et al (2020) German stock market say that there is no indication that the use of a momentum strategy is better. Instead, we get the opposite where the price reversal occurs.…”

Section: Introductionmentioning

confidence: 99%

Do Domestic Investors with the Smallest Trading Orders Use Momentum Strategiesin The IDX?

Syamni

Wardhiah

Majid

et al. 2021

IRJBS

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This study aims to examine the use of the momentum strategy of domestic investors who trade small order sizes on IDX. The data used in this study is intraday trade transaction data from the LQ 45 Index for March, April and May 2017 obtained from The Indonesia Capital Market Institute. The method of data analysis used is the market-adjusted model approach. The results of this study indicate that domestic investors who trade in small order sizes tend to use the momentum strategy in government and non-government stock issuers. This finding implies that when IDX is in a good performance, investors should take advantage of this condition because buying stocks that have already been performing well provides a significant short-term abnormal return.

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Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks

Cited by 7 publications

References 43 publications

A Review of Momentum Strategy in Capital Market

A Review of Momentum Strategy in Capital Market

Extending the Omega model with momentum and reversal strategies to intraday trading

Do Domestic Investors with the Smallest Trading Orders Use Momentum Strategiesin The IDX?

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