I am working with time series data of daily prices, and intraday prices. For simplicity sake I will refer to the daily time series as 'A' and 'B', and the intraday time series of the same instruments as 'a' and 'b'. When I check for cointegration between A and B my results tell me that the series are indeed cointegrated, but when checking their intraday series, a and b, my analysis shows no cointegration unless I apply some form of differencing to the series ( ie. taking returns of a and b , or log(a) and log(b) ).
Is the conclusion here as simple as declaring that intraday the series are not cointegrated, but over longer time frames they are? Or can I reach some generalized conclusion that I should be able to expect some degree of mean reversion intraday of a and b due to the daily cointegration between A and B.
I am mainly having a hard time connecting whether or not there are implications to be drawn from daily results -> intraday data, or vice versa in general.