Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/44942 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Discussion Papers in Statistics and Econometrics No. 9/07
Verlag: 
University of Cologne, Seminar of Economic and Social Statistics, Cologne
Zusammenfassung: 
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.
Schlagwörter: 
bear market
bootstrapping
bull market
conditional Spearman's rho
copulas
Monte Carlo simulation
stock returns
JEL: 
C14
C12
Dokumentart: 
Working Paper

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