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Analysis of Intraday Non-Linear Asymmetrical Relationship in US Stock Exchanges with Momentum Threshold Models

Author

Listed:
  • Ayben Koy

    (Istanbul Commerce University)

  • Mehmet Yusuf Güngör

    (Istanbul Commerce University)

  • Oğuz Şimşek

    (Istanbul Commerce University)

Abstract

The study examines intraday price relationships between SP500 and Dow Jones Industrial (DJI) in the 3 months following the V-type recovery from the stock market crash due to the pandemic. Analysis with Momentum Threshold Value (MTAR) cointegration and error correction models revealed the existence of an intraday non-linear asymmetric relationship in US stock markets. Findings of the MTAR Vector error correction model applied to the 5-minute observations indicate the existence of an asymmetric causality relationship from the SP500 index to the DJI index in the long run.

Suggested Citation

  • Ayben Koy & Mehmet Yusuf Güngör & Oğuz Şimşek, 2022. "Analysis of Intraday Non-Linear Asymmetrical Relationship in US Stock Exchanges with Momentum Threshold Models," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(117), pages 63-76, April.
    • Handle: RePEc:acc:malfin:v:37:y:2022:i:117:p:63-76
    DOI: https://doi.org/10.33203/mfy.1038136
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    More about this item

    Keywords

    Intraday price; SP500 & DJI; momentum threshold model; asymmetrical relationship;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C29 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Other
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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