High-low price prediction and technical analysis : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University, Albany, New Zealand

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dc.contributor.authorYang, Juan
dc.date.accessioned2015-03-17T22:43:35Z
dc.date.available2015-03-17T22:43:35Z
dc.date.issued2014
dc.description.abstractHigh and low prices convey additional information beyond closing prices, based on the fact that the improved high-low volatility estimator enjoys higher efficiency than the standard close-to-close variance. Empirical results show that a positive risk-return relationship is exhibited more frequently when predicted high-low prices are applied rather than historical data by taking advantage of the new volatility estimator in 48 countries. In this study, models using historical data contain(1) historical closing prices, (2)historical high-low prices, and (3) the Risk Aversion method, while the three high-low prices prediction approaches include (1) Engle and Granger two-step linear model, (2) Engle and Granger non-linear model, and (3)MIDAS technique. Corporate governance variables, associated with laws and enforcement, have weak explanatory power over investors’ perception of risk. This study also contributes to the validity of technical analysis by showing that high and low prices forecasts are able to generate valuable trading signals and positive returns based on range-based strategy and midpoint strategy. The superior investment performance benefits investors in trading both stock indices and options in U.S. financial markets.en_US
dc.identifier.urihttp://hdl.handle.net/10179/6375
dc.language.isoenen_US
dc.publisherMassey Universityen_US
dc.rightsThe Authoren_US
dc.subjectStock price forecastingen_US
dc.subjectStocksen_US
dc.subjectPricesen_US
dc.subjectMathematical modelsen_US
dc.subjectResearch Subject Categories::SOCIAL SCIENCES::Business and economics::Business studiesen_US
dc.titleHigh-low price prediction and technical analysis : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University, Albany, New Zealanden_US
dc.typeThesisen_US
massey.contributor.authorYang, Juanen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorMassey Universityen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Business Studies (M.B.S.)en_US
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