أعرض تسجيلة المادة بشكل مبسط

dc.creator Cheung, Yin-Wong
dc.date 2006
dc.date.accessioned 2013-10-16T07:03:17Z
dc.date.available 2013-10-16T07:03:17Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19159
dc.identifier ppn:510038859
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19159
dc.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.
dc.language eng
dc.publisher
dc.relation CESifo working papers 1695
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G10
dc.subject C32
dc.subject ddc:330
dc.subject high
dc.subject low open
dc.subject close
dc.subject trading volume
dc.subject VECM model
dc.subject Börsenkurs
dc.subject Aktienindex
dc.subject Kointegration
dc.subject Wertpapierhandel
dc.subject Börsenumsatz
dc.subject Schätzung
dc.subject USA
dc.title Anempirical model of daily highs and lows
dc.type doc-type:workingPaper


الملفات في هذه المادة

الملفات الحجم الصيغة عرض

لا توجد أي ملفات مرتبطة بهذه المادة.

هذه المادة تبدو في المجموعات التالية:

أعرض تسجيلة المادة بشكل مبسط