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Table 2 Correlation Analysis on Stock Returns (rt), Stock Returns with Overnight Returns being included (rto), PMGt and PMLt

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

  1. Note.***, **, * means respectively statistical significance at the level of 1%, 5% and 10%. We regress rto on rt, and the results are presented as follows.For monthly stock returns,
  2. rto = 4.16E ‐ 04 + 1.003rt + εtR2 = 0.994
  3. For quarterly stock returns,
  4. rto = 4.52E ‐ 04 + 0.999rt + εtR2 = 0.998