Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19159| Title: | Anempirical model of daily highs and lows |
| Keywords: | G10 C32 ddc:330 high low open close trading volume VECM model Börsenkurs Aktienindex Kointegration Wertpapierhandel Börsenumsatz Schätzung USA |
| Issue Date: | 16-Oct-2013 |
| Publisher: | |
| Description: | We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and trading volume are found to offer incremental explanatory power for variations in highs and lows within the VECM framework. With all these variables, the augmented VECM models explain 40% to 50% of variations in daily highs and lows. The generalized impulse response analysis shows that the responses of daily highs and daily lows to the shocks depend on whether data on openings, closings, and trading volume are included in the analysis. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19159 |
| Other Identifiers: | http://hdl.handle.net/10419/19159 ppn:510038859 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.