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Title:Investing in European Stock Markets for High-Technology Firms PDF Logo
Authors:Pierdzioch, Christian
Schertler, Andrea
Issue Date:2005
Series/Report no.:Kieler Arbeitspapiere 1265
Abstract:We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché, the Alternative Investment Market, and the NASDAQ. We found substan-tial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. We also studied how monitoring the comovement of stock markets would have affected the performance of simple trading rules and investor?s market-timing skills.
Subjects:Recursive modeling approach ; Comovement of returns ; High-technology firms
JEL:E24
C32
B22
Document Type:Working Paper
Appears in Collections:Kieler Arbeitspapiere, IfW
Publikationen von Forscherinnen und Forschern des IfW

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