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dc.contributor.authorDobrić, Jadranen_US
dc.contributor.authorFrahm, Gabrielen_US
dc.contributor.authorSchmid, Friedrichen_US
dc.date.accessioned2009-09-14en_US
dc.date.accessioned2011-04-14T12:23:23Z-
dc.date.available2011-04-14T12:23:23Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/44942-
dc.description.abstractPearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is purely nonparametric and we avoid any kind of model misspecification. We derive hypothesis tests for the conditional Spearman's rho in bull andbearmarkets and verify the tests by Monte Carlo simulation.Further, we study the daily returns of stocks contained in the German stock index DAX 30. We find some significant differences in dependence of stock returns in bull and bear markets. On the other hand the differences are not so strong as one might expect.en_US
dc.language.isoengen_US
dc.publisherUniv., Seminar für Wirtschafts- und Sozialstatistik Kölnen_US
dc.relation.ispartofseriesDiscussion papers in statistics and econometrics 9/07en_US
dc.subject.jelC14en_US
dc.subject.jelC12en_US
dc.subject.ddc330en_US
dc.subject.keywordbear marketen_US
dc.subject.keywordbootstrappingen_US
dc.subject.keywordbull marketen_US
dc.subject.keywordconditional Spearman's rhoen_US
dc.subject.keywordcopulasen_US
dc.subject.keywordMonte Carlo simulationen_US
dc.subject.keywordstock returnsen_US
dc.titleDependence of stock returns in bull and bear marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn60870220Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:ucdpse:907-
Appears in Collections:Discussion Papers in Econometrics and Statistics, Institut für Ökonometrie und Statistik, Universität Köln

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