Table 1 Description of variables...

Table 1

Description of variables

Notation	Name of variable	Description of measurement	Data source
x1–x6	Lagged Returns (t–6 to t–1)	$r_{t - i} = \ln (\frac{P_{t - i}}{P_{t - i - 1}}), i = 1, \dots, 6$	Own calculation based on S&P Global indices
x1–x6	Lagged Returns (t–6 to t–1)	where “ $P_{t - i}$ ” is the closing price at day t−i	Own calculation based on S&P Global indices
x7	Current Day Return (t)	$r_{t} = \ln (\frac{P_{t}}{P_{t - 1}})$	Own calculation based on S&P Global indices
x7	Current Day Return (t)	Where “ $P_{t}$ ” is the closing price ad day t	Own calculation based on S&P Global indices
x8 (MA5)	5-day Moving Average of Returns	Arithmetic mean of last 5 daily returns, up to and including day t	Own calculation based on S&P Global indices
x9 (Vol)	5-day Return Volatility	Standard deviation of last 5 daily returns, up to and including day t	Own calculation based on S&P Global indices
Output	Next Day Return (t+1)	$r_{t + 1} = \ln (\frac{P_{t + 1}}{P_{t}})$	Own calculation based on S&P Global indices
Output	Next Day Return (t+1)	Where “ $P_{t + 1}$ ” is the closing price at day t+1	Own calculation based on S&P Global indices

Notation	Name of variable	Description of measurement	Data source
x1–x6	Lagged Returns (t–6 to t–1)	$r_{t - i} = \ln (\frac{P_{t - i}}{P_{t - i - 1}}), i = 1, \dots, 6$	Own calculation based on S&P Global indices
x1–x6	Lagged Returns (t–6 to t–1)	where “ $P_{t - i}$ ” is the closing price at day t−i	Own calculation based on S&P Global indices
x7	Current Day Return (t)	$r_{t} = \ln (\frac{P_{t}}{P_{t - 1}})$	Own calculation based on S&P Global indices
x7	Current Day Return (t)	Where “ $P_{t}$ ” is the closing price ad day t	Own calculation based on S&P Global indices
x8 (MA5)	5-day Moving Average of Returns	Arithmetic mean of last 5 daily returns, up to and including day t	Own calculation based on S&P Global indices
x9 (Vol)	5-day Return Volatility	Standard deviation of last 5 daily returns, up to and including day t	Own calculation based on S&P Global indices
Output	Next Day Return (t+1)	$r_{t + 1} = \ln (\frac{P_{t + 1}}{P_{t}})$	Own calculation based on S&P Global indices
Output	Next Day Return (t+1)	Where “ $P_{t + 1}$ ” is the closing price at day t+1	Own calculation based on S&P Global indices

Note(s): Price data for all indices were obtained from S&P Global. Log return is the natural logarithm of the ratio of consecutive daily prices

Source(s): Our own calculations based on S&P Global and Refinitiv Eikon indices

Sharing Unavailable