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https://hdl.handle.net/10419/19159
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Cheung, Yin-Wong | en |
dc.date.accessioned | 2009-01-28T15:55:28Z | - |
dc.date.available | 2009-01-28T15:55:28Z | - |
dc.date.issued | 2006 | - |
dc.identifier.uri | http://hdl.handle.net/10419/19159 | - |
dc.description.abstract | We construct an empirical model for daily highs and daily lows of US stock indexes based onthe intuition that highs and lows do not drift apart over time. Our empirical results show thatdaily 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 variationsin highs and lows within the VECM framework. With all these variables, the augmentedVECM models explain 40% to 50% of variations in daily highs and lows. The generalizedimpulse response analysis shows that the responses of daily highs and daily lows to theshocks depend on whether data on openings, closings, and trading volume are included in theanalysis. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x1695 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | C32 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | high | en |
dc.subject.keyword | low open | en |
dc.subject.keyword | close | en |
dc.subject.keyword | trading volume | en |
dc.subject.keyword | VECM model | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Aktienindex | en |
dc.subject.stw | Kointegration | en |
dc.subject.stw | Wertpapierhandel | en |
dc.subject.stw | Börsenumsatz | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | USA | en |
dc.title | Anempirical model of daily highs and lows | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 510038859 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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