文章基本信息

标题：Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market
本地全文：下载
作者：Muneer Shaik ; S. Maheswaran
期刊名称：Cogent Economics & Finance
电子版ISSN：2332-2039
出版年度：2018
卷号：6
期号：1
页码：1-23
DOI：10.1080/23322039.2018.1475926
语种：English
出版社：Taylor and Francis Ltd
摘要：Abstract We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable amount of mean reversion. We argue that ELR ratio is more conclusive in detecting mean reversion when compared to the traditional Lo and MacKinlay variance ratio variance ratio. On the empirical side, we find that mean reversion is a robust feature among the constituents of India’s BSE SENSEX stock index.
关键词：mean reversion ; extreme value estimators ; expected lifetime range ratio ; Lo and MacKinlay variance ratio ; random walk