|Table of Contents|

Nonparametric research on the relationship between intraday movement and overnight gap of stock indices(PDF)

《长安大学学报（社科版）》[ISSN:1671-6248/CN:61-1391/C]

Issue:
2012年03期
Page:
54-59
Research Field:
经济与管理
Publishing date:

Info

Title:
Nonparametric research on the relationship between intraday movement and overnight gap of stock indices
Author(s):
ZHAO Zhao
Antai School of Economics and Management, Shanghai Jiaotong University, Shanghai 200240, China
Keywords:
nonparametric statistics;  stock market index;  confidence band;  profitable investment strategy
PACS:
F830.91
DOI:
-
Abstract:
This paper adopts the method of nonparametric statistic analysis to conduct a research on the relationship between the overnight gap and intraday movement of stock indices. The daily trading data of 7 stock markets around the world were processed and analyzed through basic statistic analysis, scattering diagram and the function figure based on R software. The analysis result shows that there is a relationship between overnight gap and intraday movement, and the relation is different with the stock market. Taking Shanghai composite index analysis data as an example, it is found that the percentage gap area as the gap and change fits better by asymptotic and Bootstrap confidence band analysis. And a profitable trading strategy based on stocks overnight gap was proposed according to the relationship between gap and change in the percentage gap interval. This also demonstrates that technical analysis is efficient to guide the stocks investment.

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Last Update: 2012-09-20