From: Timing the market: the economic value of price extremes
 | Panel A: Monthly Data Observations | Panel B: Quarterly Data Observations | ||||
---|---|---|---|---|---|---|
Lags | 2 | 4 | 6 | 2 | 4 | 6 |
HS: PMG /→ PML | 0.069 | 0.033 | 0.068 | 0.078 | 0.551 | 0.797 |
HS: PML /→ PMG | 0.000 | 0.000 | 0.001 | 0.175 | 0.132 | 0.155 |
ST: PMG /→ PML | 0.924 | 0.524 | 0.417 | 0.726 | 0.730 | 0.811 |
ST: PML ST /→ PMG | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
NK: PMG /→ PML | 0.463 | 0.842 | 0.904 | 0.815 | 0.601 | 0.453 |
NK: PML /→ PMG | 0.000 | 0.000 | 0.000 | 0.024 | 0.075 | 0.210 |
FT: PMG /→ PML | 0.894 | 0.919 | 0.304 | 0.478 | 0.364 | 0.501 |
FT: PML /→ PMG | 0.000 | 0.000 | 0.000 | 0.006 | 0.031 | 0.028 |
NASDAQ:PMG /→ PML | 0.001 | 0.004 | 0.055 | 0.614 | 0.022 | 0.124 |
NASDAQ:PML /→ PMG | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
SSEC: PMG /→ PML | 0.056 | 0.016 | 0.006 |  |  |  |
SSEC: PML /→ PMG | 0.032 | 0.080 | 0.310 |  |  |  |
TSEC: PMG /→ PML | 0.719 | 0.655 | 0.218 |  |  |  |
TSEC: PML /→ PMG | 0.000 | 0.000 | 0.000 |  |  |  |
KOSPI: PMG /→ PML | 0.055 | 0.334 | 0.059 |  |  |  |
KOSPI: PML /→ PMG | 0.000 | 0.000 | 0.000 |  |  |  |
DAX : PMG /→ PML | 0.508 | 0.944 | 0.690 |  |  |  |
DAX: PML /→ PMG | 0.000 | 0.000 | 0.000 |  |  |  |
CAC: PMG /→ PML | 0.271 | 0.328 | 0.269 |  |  |  |
CAC: PML /→ PMG | 0.000 | 0.000 | 0.000 |  |  |  |