High and low prices and the range in the European stock markets: A long-memory approach

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically, monthl...

Descripción completa

Detalles Bibliográficos
Autores: Caporale, G.M. (Guglielmo M.)|||/items/9eec80b9-3717-46f0-a5da-1d38cae16ad1, Gil-Alana, L.A. (Luis A.)|||/items/a283ece6-b578-452c-9362-8d1a6255b23c, Poza, C. (Carlos)|||/items/15fbf14e-f23d-4e3c-b9ce-1392dbd238ca
Tipo de recurso: artículo
Fecha de publicación:2020
País:España
Institución:Universidad de Navarra
Repositorio:Dadun. Depósito Académico Digital de la Universidad de Navarra
Idioma:inglés
OAI Identifier:oai:dadun.unav.edu:10171/66330
Acceso en línea:https://hdl.handle.net/10171/66330
Access Level:acceso abierto
Palabra clave:High and low prices
Range
Fractional integration
id ES_fa1fc2e29e5fa89e734bcc2c37baa175
oai_identifier_str oai:dadun.unav.edu:10171/66330
network_acronym_str ES
network_name_str España
repository_id_str
spelling High and low prices and the range in the European stock markets: A long-memory approachCaporale, G.M. (Guglielmo M.)|||/items/9eec80b9-3717-46f0-a5da-1d38cae16ad1Gil-Alana, L.A. (Luis A.)|||/items/a283ece6-b578-452c-9362-8d1a6255b23cPoza, C. (Carlos)|||/items/15fbf14e-f23d-4e3c-b9ce-1392dbd238caHigh and low pricesRangeFractional integrationThis paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically, monthly, weekly and daily data on the following five European stock market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all cases, the order of integration of the range is lower than that of the original series, which implies the existence of a long-run equilibrium relationship between high and low prices. Further, multiple breaks are found in the high and low-price series but no breaks in the range, and the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.Dadun. Depósito Académico Digital Universidad de Navarra20232023-05-2320202020-01-0120202020-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/10171/66330reponame:Dadun. Depósito Académico Digital de la Universidad de Navarrainstname:Universidad de NavarraInglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:dadun.unav.edu:10171/663302026-06-21T12:47:57Z
dc.title.none.fl_str_mv High and low prices and the range in the European stock markets: A long-memory approach
title High and low prices and the range in the European stock markets: A long-memory approach
spellingShingle High and low prices and the range in the European stock markets: A long-memory approach
Caporale, G.M. (Guglielmo M.)|||/items/9eec80b9-3717-46f0-a5da-1d38cae16ad1
High and low prices
Range
Fractional integration
title_short High and low prices and the range in the European stock markets: A long-memory approach
title_full High and low prices and the range in the European stock markets: A long-memory approach
title_fullStr High and low prices and the range in the European stock markets: A long-memory approach
title_full_unstemmed High and low prices and the range in the European stock markets: A long-memory approach
title_sort High and low prices and the range in the European stock markets: A long-memory approach
dc.creator.none.fl_str_mv Caporale, G.M. (Guglielmo M.)|||/items/9eec80b9-3717-46f0-a5da-1d38cae16ad1
Gil-Alana, L.A. (Luis A.)|||/items/a283ece6-b578-452c-9362-8d1a6255b23c
Poza, C. (Carlos)|||/items/15fbf14e-f23d-4e3c-b9ce-1392dbd238ca
author Caporale, G.M. (Guglielmo M.)|||/items/9eec80b9-3717-46f0-a5da-1d38cae16ad1
author_facet Caporale, G.M. (Guglielmo M.)|||/items/9eec80b9-3717-46f0-a5da-1d38cae16ad1
Gil-Alana, L.A. (Luis A.)|||/items/a283ece6-b578-452c-9362-8d1a6255b23c
Poza, C. (Carlos)|||/items/15fbf14e-f23d-4e3c-b9ce-1392dbd238ca
author_role author
author2 Gil-Alana, L.A. (Luis A.)|||/items/a283ece6-b578-452c-9362-8d1a6255b23c
Poza, C. (Carlos)|||/items/15fbf14e-f23d-4e3c-b9ce-1392dbd238ca
author2_role author
author
dc.contributor.none.fl_str_mv Dadun. Depósito Académico Digital Universidad de Navarra
dc.subject.none.fl_str_mv High and low prices
Range
Fractional integration
topic High and low prices
Range
Fractional integration
description This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically, monthly, weekly and daily data on the following five European stock market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all cases, the order of integration of the range is lower than that of the original series, which implies the existence of a long-run equilibrium relationship between high and low prices. Further, multiple breaks are found in the high and low-price series but no breaks in the range, and the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020-01-01
2020
2020-01-01
2023
2023-05-23
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/10171/66330
url https://hdl.handle.net/10171/66330
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Dadun. Depósito Académico Digital de la Universidad de Navarra
instname:Universidad de Navarra
instname_str Universidad de Navarra
reponame_str Dadun. Depósito Académico Digital de la Universidad de Navarra
collection Dadun. Depósito Académico Digital de la Universidad de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869425156133224448
score 15.300719

Similares en LA Referencia