Intraday time series momentum: Global evidence and links to market characteristics

We examine intraday time series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. show that ITSM is economically sizable and statistically significant both in- out-of-sample most countries. Based on theories investor behavior, we propose test four hypotheses to reveal the source profitability. document cross-section dimension stronger when liquidity low, volatility high, new information discrete. Overall, our results suggest driven market microstructure behavioral factors.