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Institut für Weltwirtschaft (IfW), Kiel >
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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/17813
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| Title: | | Investing in European Stock Markets for High-Technology Firms  |
| 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: | | Publikationen von Forscherinnen und Forschern des IfW Kieler Arbeitspapiere, IfW
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