Analysis of Intraday Non-linear Asymmetrical Relationship in Us Stock Exchanges With Momentum Threshold Models

Ayben Koy, Mehmet Yusuf Güngör and Oğuz Şimşek
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Ayben Koy: Istanbul Commerce University
Mehmet Yusuf Güngör: İstanbul Ti̇caret University
Oğuz Şimşek: Istanbul Commerce University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2022, vol. 37, issue 117, 63-76

Abstract: The study examines intraday price relationships between sp500 and dow jones industrial (dji) in the 3 months following the v-type recovery from the stock market crash due to the pandemic. Analysis with momentum threshold value (mtar) cointegration and error correction models revealed the existence of an intraday non-linear asymmetric relationship in us stock markets. Findings of the mtar vector error correction model applied to the 5-minute observations indicate the existence of an asymmetric causality relationship from the sp500 index to the dji index in the long run.

Keywords: Intraday price; SP500 & DJI; momentum threshold model; asymmetrical relationship (search for similar items in EconPapers)
JEL-codes: C29 C32 G10 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:37:y:2022:i:117:p:63-76

DOI: 10.33203/mfy.1038136

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