Panel A: H-L Range based model | ||||||||||||
Holding Periods Portfolio | Daily Returns | Weekly Returns | Monthly Returns | Quarterly Returns | ||||||||
CT1×1 | CT2×2 | CT3×3 | CT1×1 | CT2×2 | CT3×3 | CT1×1 | CT2×2 | CT3×3 | CT1×1 | CT2×2 | CT3×3 | |
1999 | −1.53 | −3.24 | −3.39 | −2.37 | −0.81 | −4.97 | −16.43 | −1.83 | −0.26 | −2.87 | 5.48 | 4.05 |
2000 | −1.49 | −3.17 | −3.32 | −2.31 | −0.78 | −4.88 | −17.38 | −1.94 | −0.29 | −2.76 | 5.39 | 4.04 |
2001 | −1.24 | −2.64 | −2.76 | −1.90 | −0.64 | −4.02 | −19.18 | −2.18 | −0.34 | −2.54 | 5.00 | 3.76 |
2002 | −1.08 | −2.30 | −2.41 | −1.65 | −0.57 | −3.42 | −15.27 | −1.58 | −0.16 | −1.73 | 4.09 | 3.36 |
2003 | −1.09 | −2.32 | −2.43 | −1.66 | −0.57 | −3.47 | −15.38 | −1.64 | −0.19 | −1.74 | 4.33 | 3.63 |
2004 | −1.11 | −2.37 | −2.48 | −1.67 | −0.58 | −3.48 | −14.45 | −1.46 | −0.13 | −1.84 | 4.47 | 3.72 |
2005 | −1.24 | −2.65 | −2.77 | −1.88 | −0.64 | −3.94 | −16.25 | −1.75 | −0.22 | −1.96 | 4.74 | 3.94 |
2006 | −1.30 | −2.75 | −2.89 | −2.00 | −0.68 | −4.21 | −16.19 | −1.81 | −0.26 | −2.17 | 4.49 | 3.46 |
2007 | −1.66 | −3.51 | −3.67 | −2.59 | −0.88 | −5.48 | −16.02 | −1.74 | −0.23 | −2.27 | 4.72 | 3.65 |
2008 | −2.18 | −4.62 | −4.81 | −3.37 | −1.11 | −7.26 | −22.25 | −2.77 | −0.56 | −3.52 | 5.94 | 4.06 |
2009 | −1.35 | −2.87 | −3.01 | −2.12 | −0.73 | −4.44 | −15.41 | −1.75 | −0.27 | −3.98 | 6.08 | 3.86 |
2010 | −1.09 | −2.32 | −2.44 | −1.67 | −0.57 | −3.48 | −15.53 | −1.64 | −0.19 | −1.69 | 3.97 | 3.26 |
2011 | −1.15 | −2.45 | −2.57 | −1.77 | −0.61 | −3.70 | −15.90 | −1.66 | −0.18 | −1.68 | 4.38 | 3.74 |
2012 | −1.20 | −2.55 | −2.67 | −1.83 | −0.62 | −3.85 | −17.18 | −1.91 | −0.27 | −2.09 | 4.33 | 3.35 |
2013 | −1.08 | −2.31 | −2.43 | −1.62 | −0.56 | −3.38 | −17.77 | −1.91 | −0.24 | −1.87 | 4.67 | 3.93 |
2014 | −1.09 | −2.31 | −2.43 | −1.64 | −0.56 | −3.46 | −18.33 | −1.99 | −0.26 | −1.74 | 4.37 | 3.68 |
2015 | −1.13 | −2.41 | −2.53 | −1.73 | −0.59 | −3.63 | −19.36 | −2.15 | −0.31 | −1.85 | 4.17 | 3.36 |
2016 | −1.24 | −2.64 | −2.77 | −1.90 | −0.65 | −3.99 | −16.56 | −1.83 | −0.26 | −2.04 | 4.27 | 3.32 |
2000-2001 | −1.37 | −2.90 | −3.04 | −2.11 | −0.71 | −4.45 | −18.28 | −2.06 | −0.31 | −2.65 | 5.19 | 3.90 |
2002-2006 | −1.16 | −2.48 | −2.60 | −1.77 | −0.61 | −3.70 | −15.51 | −1.65 | −0.19 | −1.89 | 4.42 | 3.62 |
2007-2009 | −1.73 | −3.67 | −3.83 | −2.69 | −0.91 | −5.73 | −17.89 | −2.09 | −0.35 | −3.26 | 5.58 | 3.86 |
2010-2012 | −1.15 | −2.44 | −2.56 | −1.76 | −0.60 | −3.68 | −16.20 | −1.74 | −0.22 | −1.82 | 4.23 | 3.45 |
2013-2014 | −1.09 | −2.31 | −2.43 | −1.63 | −0.56 | −3.42 | −18.05 | −1.95 | −0.25 | −1.81 | 4.52 | 3.80 |
2015-2016 | −1.19 | −2.52 | −2.65 | −1.82 | −0.62 | −3.81 | −17.96 | −1.99 | −0.28 | −1.95 | 4.22 | 3.34 |
Panel B: Ct-Ct−1 Range based model | ||||||||||||
1999 | −1.32 | −0.38 | −2.42 | −0.29 | −0.79 | −2.66 | −1.76 | −1.09 | −0.73 | −4.04 | −3.14 | −1.61 |
2000 | −1.28 | −0.37 | −2.34 | −0.28 | −0.78 | −2.63 | −1.77 | −1.10 | −0.74 | −6.23 | −5.41 | −2.84 |
2001 | −1.05 | −0.31 | −1.93 | −0.23 | −0.68 | −2.27 | −1.79 | −1.02 | −0.80 | −5.74 | −4.77 | −2.48 |
2002 | −0.91 | −0.27 | −1.67 | −0.18 | −0.59 | −1.95 | −1.56 | −0.89 | −0.70 | −4.76 | −2.87 | −1.37 |
2003 | −0.91 | −0.27 | −1.68 | −0.20 | −0.60 | −1.99 | −1.58 | −0.90 | −0.71 | −5.44 | −3.94 | −1.99 |
2004 | −0.94 | −0.28 | −1.72 | −0.19 | −0.60 | −1.99 | −1.53 | −0.89 | −0.68 | −5.55 | −4.14 | −2.10 |
2005 | −1.06 | −0.31 | −1.94 | −0.22 | −0.66 | −2.20 | −1.64 | −0.95 | −0.72 | −5.01 | −3.76 | −1.91 |
2006 | −1.10 | −0.32 | −2.02 | −0.24 | −0.69 | −2.32 | −1.77 | −1.06 | −0.76 | −7.67 | −6.20 | −3.21 |