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Title:Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913 PDF Logo
Authors:Pierdzioch, Christian
Issue Date:2004
Series/Report no.:Kieler Arbeitspapiere 1213
Abstract:I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over the period 1880?1913. I find that the extent to which returns were predictable underwent significant changes over time. Specifically, predictability of returns, as measured by their first-order autocorrelation coefficient, was positive most of the time. It tended to be significant during extended periods of stock market decline, but not during periods of stock market increase. I argue that this timepattern of predictability of returns is consistent with feedback effects of futures trading on the spot market.
Subjects:Stock market
Return Predictability
Germany
JEL:G14
N24
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des IfW
Kieler Arbeitspapiere, IfW

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