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dc.contributor.authorCheung, Yin-Wongen_US
dc.date.accessioned2009-01-28T15:55:28Z-
dc.date.available2009-01-28T15:55:28Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/19159-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesCESifo working papers 1695en_US
dc.subject.jelG10en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.keywordhighen_US
dc.subject.keywordlow openen_US
dc.subject.keywordcloseen_US
dc.subject.keywordtrading volumeen_US
dc.subject.keywordVECM modelen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienindexen_US
dc.subject.stwKointegrationen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleAnempirical model of daily highs and lowsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn510038859en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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