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Discussion Papers in Statistics and Econometrics, Seminar für Wirtschafts- und Sozialstatistik, Universität Köln >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/44942
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Dobrić, Jadran | | en_US |
| dc.contributor.author | | Frahm, Gabriel | | en_US |
| dc.contributor.author | | Schmid, Friedrich | | en_US |
| dc.date.accessioned | | 2009-09-14 | | en_US |
| dc.date.accessioned | | 2011-04-14T12:23:23Z | | - |
| dc.date.available | | 2011-04-14T12:23:23Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/44942 | | - |
| dc.description.abstract | | Pearson'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.iso | | eng | | en_US |
| dc.publisher | | Univ., Seminar für Wirtschafts- und Sozialstatistik Köln | | en_US |
| dc.relation.ispartofseries | | Discussion papers in statistics and econometrics 9/07 | | en_US |
| dc.subject.jel | | C14 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | bear market | | en_US |
| dc.subject.keyword | | bootstrapping | | en_US |
| dc.subject.keyword | | bull market | | en_US |
| dc.subject.keyword | | conditional Spearman's rho | | en_US |
| dc.subject.keyword | | copulas | | en_US |
| dc.subject.keyword | | Monte Carlo simulation | | en_US |
| dc.subject.keyword | | stock returns | | en_US |
| dc.title | | Dependence of stock returns in bull and bear markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 60870220X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:ucdpse:907 | | - |
| Appears in Collections: | | Discussion Papers in Statistics and Econometrics, Seminar für Wirtschafts- und Sozialstatistik, Universität Köln
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