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Institut für Weltwirtschaft (IfW), Kiel >
Kieler Arbeitspapiere, IfW >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/17763
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Pierdzioch, Christian | | en_US |
| dc.coverage.temporal | | 1880-1913 | | en_US |
| dc.date.accessioned | | 2009-01-28T14:59:19Z | | - |
| dc.date.available | | 2009-01-28T14:59:19Z | | - |
| dc.date.issued | | 2004 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/17763 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Kiel Institute for the World Economy (IfW) Kiel | | en_US |
| dc.relation.ispartofseries | | Kieler Arbeitspapiere 1213 | | en_US |
| dc.subject.jel | | G14 | | en_US |
| dc.subject.jel | | N24 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Stock market | | en_US |
| dc.subject.keyword | | Return Predictability | | en_US |
| dc.subject.keyword | | Germany | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913 | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 388195967 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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