Abstract
ABSTRACTWe study ultra short term return predictability based on intraday momentum and contrarian effects on the JSE. Statistically significant return predictability is found to be present to some extent when returns are calculated from mid-quote prices. However, when returns are calculated under bid-ask pricing assumptions which are more realistic from a trading point of view, intraday momentum and contrarian effects largely disappear and cannot be exploited profitably.
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