Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25236
Authors: 
Weber, Enzo
Year of Publication: 
2007
Series/Report no.: 
SFB 649 discussion paper 2007,064
Abstract: 
This paper seeks to disentangle the sources of correlations between high-, mid- and low-cap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components are obviously not identifiable. As a solution, the underlying study proposes specifying ARCH-type models for both the idiosyncratic innovations and a common factor, so that the model structure can be identified through heteroscedasticity. The seemingly surprising result that smaller caps have higher influence than larger ones is explained by asymmetric information processing in financial markets. Broad macroeconomic information is shown to enter the common factor rather than the segment-specific shocks.
Subjects: 
Identification
Spillover
Common Factor
Structural EGARCH
DAX
JEL: 
C32
G10
Document Type: 
Working Paper

Files in This Item:
File
Size
526.25 kB





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