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https://hdl.handle.net/10419/17763
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Pierdzioch, Christian | en |
dc.date.accessioned | 2009-01-28T14:59:19Z | - |
dc.date.available | 2009-01-28T14:59:19Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/17763 | - |
dc.description.abstract | 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. | en |
dc.language.iso | eng | en |
dc.publisher | |aKiel Institute for World Economics (IfW) |cKiel | en |
dc.relation.ispartofseries | |aKiel Working Paper |x1213 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | N24 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Stock market | en |
dc.subject.keyword | Return Predictability | en |
dc.subject.keyword | Germany | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Kapitalertrag | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Deutschland | en |
dc.title | Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913 | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 388195967 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:ifwkwp:1213 | en |
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