IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v6y2018i1p1475926.html
   My bibliography  Save this article

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

Author

Listed:
  • Muneer Shaik
  • S. Maheswaran

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.

Suggested Citation

  • Muneer Shaik & S. Maheswaran, 2018. "Expected lifetime range ratio to find mean reversion: Evidence from Indian stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1475926-147, January.
    • Handle: RePEc:taf:oaefxx:v:6:y:2018:i:1:p:1475926
    DOI: 10.1080/23322039.2018.1475926
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2018.1475926
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23322039.2018.1475926?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mukta Kanvinde & Muneer Shaik, 2020. "Are BRICS Stock Market Indices Mean Reverting? Evidence Based on Expected Lifetime Range Ratio," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(2), pages 169-186, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:oaefxx:v:6:y:2018:i:1:p:1475926. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.