کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089350 1375590 2013 43 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the predictability of stock prices: A case for high and low prices
ترجمه فارسی عنوان
در مورد پیش بینی قیمت سهام: مورد برای قیمت های بالا و پایین
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper contributes to technical analysis (TA) literature by showing that the high and low prices of equity shares are largely predictable only on the basis of their past realizations. Moreover, using their forecasts as entry/exit signals can improve common TA trading strategies applied on US equity prices. We propose modeling high and low prices using a simple implementation of a fractional vector autoregressive model with error correction (FVECM). This model captures two fundamental patterns of high and low prices: their cointegrating relationship and the long-memory of their difference (i.e., the range), which is a measure of volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 37, Issue 12, December 2013, Pages 5132-5146
نویسندگان
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