The Relationship Between High of a Stock Price and Its Return Under Different Stock Market Index Levels in Listed Companies

Subject Areas :

Mohsen Dastgir ¹ , Mohammad Kazemi ²

1 - استاد گروه حسابداری دانشگاه شهید چمران اهواز
2 - کارشناس ارشد حسابداری دانشگاه آزاد اسلامی واحد مبارکه

Received: 2015-05-08 Accepted : 2015-05-08 Published : 2013-05-22

Keywords: 52-Week High Strategy, Momentum strategy, Return, the Stock Market Index, Regression,

Abstract :

The aim of this study investigated the relationship between the 52 week high of a stock price and its return under different stock market index levels. In addition In this study the relationship between short-term trend of more including 5-day high, 20-day high, and 60-day high are considered under different stock market index levels. For statistical sampling method systematically removed, the sample includes 22 companies accepted The Tehran Stock Exchange was ed and Evaluated. and In order to analyze the data and test the hypotheses Research of regression with the Combined data used is. The results test the hypotheses Research Shows the a stronger positive relationship between 52-week high and return the stock index is greater than the 52-week average, as a weaker positive relationship between 52-week high and return Exists the stock market index is below the 52-week average. Despite the positive relationship between 52-week high and return, This ratio can be used to predict future stock returns.

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