High and Low Prices and the Range in the European Stock Markets: A Long-Memory Approach

24 Pages Posted: 24 Jul 2019

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Carlos Poza

Universidad Francisco de Vitoria

Date Written: 2019

Abstract

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, the estimated fractional differencing parameter is positive in all cases, which represents evidence of long memory.

Keywords: high and low prices, range, fractional integration

JEL Classification: C220, G150

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Poza, Carlos, High and Low Prices and the Range in the European Stock Markets: A Long-Memory Approach (2019). CESifo Working Paper No. 7652, Available at SSRN: https://ssrn.com/abstract=3422233

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstra├če 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Carlos Poza

Universidad Francisco de Vitoria ( email )

Madrid
Spain

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