Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194786 
Year of Publication: 
2018
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 6 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2018 [Pages:] 1-23
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable amount of mean reversion. We argue that ELR ratio is more conclusive in detecting mean reversion when compared to the traditional Lo and MacKinlay variance ratio variance ratio. On the empirical side, we find that mean reversion is a robust feature among the constituents of India's BSE SENSEX stock index.
Subjects: 
mean reversion
extreme value estimators
expected lifetime range ratio
Lo and MacKinlay variance ratio
random walk
JEL: 
C12
C15
C58
G10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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