From: Timing the market: the economic value of price extremes
Panel A. Monthly Index Data | Panel B. Quarterly Index Data | |||||||
---|---|---|---|---|---|---|---|---|
r t o | r t | P MG t | P ML t | r t o | r t | P MG t | P ML t | |
r t o | 1.000 | — | — | — | 1.000 | — | — | — |
r t | 0.997*** | 1.000 | — | — | 0.999*** | 1.000 | — | — |
P MG t | 0.732*** | 0.737*** | 1.000 | — | 0.772*** | 0.775*** | 1.000 | — |
P ML t | 0.802*** | 0.802*** | 0.187*** | 1.000 | 0.831*** | 0.830*** | 0.290*** | 1.000 |