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Autor:innen: 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1213
Verlag: 
Kiel Institute for World Economics (IfW), Kiel
Zusammenfassung: 
I 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.
Schlagwörter: 
Stock market
Return Predictability
Germany
JEL: 
G14
N24
Dokumentart: 
Working Paper

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