An Empirical Model of Daily Highs and Lows

Yin-Wong Cheung

No 72006, Working Papers from Hong Kong Institute for Monetary Research

Abstract: 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 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.

Keywords: High; Low Open; Close; Trading Volume; VECM Model (search for similar items in EconPapers)
JEL-codes: C32 G10 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2006-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.hkimr.org/uploads/publication/209/ub_full_0_2_129_wp200607_text.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.hkimr.org/uploads/publication/209/ub_full_0_2_129_wp200607_text.pdf [301 Moved Permanently]--> http://www.aof.org.hk/research/HKIMR/uploads/publication/209/ub_full_0_2_129_wp200607_text.pdf [301 Moved Permanently]--> https://www.aof.org.hk/research/HKIMR/uploads/publication/209/ub_full_0_2_129_wp200607_text.pdf)

Related works:
Journal Article: An empirical model of daily highs and lows (2007)
Working Paper: An Empirical Model of Daily Highs and Lows (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hkm:wpaper:072006

Access Statistics for this paper

More papers in Working Papers from Hong Kong Institute for Monetary Research Contact information at EDIRC.
Bibliographic data for series maintained by HKIMR ().