Abstract
We propose a new measure of risk called the expected lifetime range (ELR) ratio, based on high and low prices. We point out that it becomes possible for us to uncover the evidence of mean reversion based on the new ELR ratio even when the classic Lo and MacKinlay (LM) (1988) statistic does not detect the same. We work with a moving average MA (1) model with MA parameter θ to make our point. Our empirical study on the Indian stock market shows that ELR ratio is able to detect mean reversion even when LM statistic does not.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
