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dc.contributor.authorPierdzioch, Christianen
dc.date.accessioned2009-01-28T14:59:19Z-
dc.date.available2009-01-28T14:59:19Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/17763-
dc.description.abstractI 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.isoengen
dc.publisher|aKiel Institute for World Economics (IfW) |cKielen
dc.relation.ispartofseries|aKiel Working Paper |x1213en
dc.subject.jelG14en
dc.subject.jelN24en
dc.subject.ddc330en
dc.subject.keywordStock marketen
dc.subject.keywordReturn Predictabilityen
dc.subject.keywordGermanyen
dc.subject.stwBörsenkursen
dc.subject.stwKapitalertragen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleFeedback Trading and Predictability of Stock Returns in Germany, 1880?1913-
dc.typeWorking Paperen
dc.identifier.ppn388195967en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwkwp:1213en

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