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Anempirical model of daily highs and lows
Cheung, Yin-Wong - 2006
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...
Persistent link: https://www.econbiz.de/10010261433
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An Empirical Model of Daily Highs and Lows
Cheung, Yin-Wong - CESifo - 2006
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...
Persistent link: https://www.econbiz.de/10005765844
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A high-low model of daily stock price ranges
Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan Tze Kin - 2008
concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily … range data. The in-sample results attest the importance of incorporating high-low interactions in modeling the range … criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The …
Persistent link: https://www.econbiz.de/10010277079
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A High-Low Model of Daily Stock Price Ranges
Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan T. K. - Hong Kong Institute for Monetary Research (HKIMR), … - 2009
concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily … range data. The in-sample results attest the importance of incorporating high-low interactions in modeling the range … criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The …
Persistent link: https://www.econbiz.de/10005357458
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A High-Low Model of Daily Stock Price Ranges
Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan T.K. - CESifo - 2008
concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily … range data. The in-sample results attest the importance of incorporating high-low interactions in modeling the range … criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The …
Persistent link: https://www.econbiz.de/10005196290
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Time and the price impact of a trade : a structural approach
Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011
) and Foucault (1999). Our results cast doubt on the common wisdom that fast markets bear particularly high adverse …
Persistent link: https://www.econbiz.de/10008856379
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Overconfidence Bias, Trading Volume and Returns Volatility : Evidence from Pakistan
Sheikh, Muhammad Fayyaz - 2013
information and biased self-attributions. High (low) trading activity following market gains (losses) and excessive volatility are …
Persistent link: https://www.econbiz.de/10013087494
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The Information Content of Retail Investors' Order Flow
Nolte, Ingmar - 2013
In this paper we provide evidence that the trading activity of small retail investors carries significant genuine information for the short term out-of-sample forecasting of foreign exchange rates. Our findings are based on a unique dataset of around 2000 retail investors from the OANDA FXTrade...
Persistent link: https://www.econbiz.de/10013090613
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Time varying spillovers between the online search volume and stock returns : case of CESEE markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 4/59, pp. 1-30
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that a feedback relationship exists between...
Persistent link: https://www.econbiz.de/10012150478
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An Empirical Model of Daily Highs and Lows
Cheung, Yin-Wong - 2022
This working paper was written by Yin-wong Cheung (University of California, Santa Cruz).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...
Persistent link: https://www.econbiz.de/10013405958