Technical Analysis: A Trading Strategy Based On Callable ...

However, Cheung (2007) shows that by considering the three main US stock indexes – the Dow Jones Industrial Index, the NASDAQ Index, and the S&P 500 Index, from 2 January 1990 to 31 December 2004, the augmented VECMs incorporating the daily data on opens, highs, lows and closes explain 40-50% of variation in the daily highs and the daily lows. ................
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