Search Results - subject:"expected lifetime range ratio"

Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-23

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...

Persistent link: https://www.econbiz.de/10011988858

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011905649

A new method based on range to detect mean reversion

Shaik, Muneer; Maheswaran, S. - In: IIMB management review 32 (2020) 2, pp. 208-216

Persistent link: https://www.econbiz.de/10012489711

Are BRICS stock market indices mean reverting? Evidence based on Expected Lifetime Range Ratio

Kanvinde, Mukta; Shaik, Muneer - In: International journal of business and economics 19 (2020) 2, pp. 169-186

Persistent link: https://www.econbiz.de/10012608851