Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17763
Authors: 
Pierdzioch, Christian
Year of Publication: 
2004
Series/Report no.: 
Kiel Working Paper 1213
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.
Subjects: 
Stock market
Return Predictability
Germany
JEL: 
G14
N24
Document Type: 
Working Paper

Files in This Item:
File
Size
384.67 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.