Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25236
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dc.contributor.authorWeber, Enzoen_US
dc.date.accessioned2008-02-20en_US
dc.date.accessioned2009-07-23T15:03:22Z-
dc.date.available2009-07-23T15:03:22Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/25236-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk|cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper|x2007,064en_US
dc.subject.jelC32en_US
dc.subject.jelG10en_US
dc.subject.ddc330en_US
dc.subject.keywordIdentificationen_US
dc.subject.keywordSpilloveren_US
dc.subject.keywordCommon Factoren_US
dc.subject.keywordStructural EGARCHen_US
dc.subject.keywordDAXen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienindexen_US
dc.subject.stwMarktsegmentierungen_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwKorrelationen_US
dc.subject.stwKausalanalyseen_US
dc.subject.stwDeutschlanden_US
dc.titleCorrelation vs. causality in stock market comovementen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn558645585en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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