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dc.contributor.authorPierdzioch, Christianen_US
dc.coverage.temporal1880-1913en_US
dc.date.accessioned2009-01-28T14:59:19Z-
dc.date.available2009-01-28T14:59:19Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/17763-
dc.description.abstractI 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.isoengen_US
dc.publisherKiel Institute for the World Economy (IfW) Kielen_US
dc.relation.ispartofseriesKieler Arbeitspapiere 1213en_US
dc.subject.jelG14en_US
dc.subject.jelN24en_US
dc.subject.ddc330en_US
dc.subject.keywordStock marketen_US
dc.subject.keywordReturn Predictabilityen_US
dc.subject.keywordGermanyen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleFeedback Trading and Predictability of Stock Returns in Germany, 1880?1913en_US
dc.typeWorking Paperen_US
dc.identifier.ppn388195967en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Publikationen von Forscherinnen und Forschern des IfW
Kieler Arbeitspapiere, IfW

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