Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/25236 
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dc.contributor.authorWeber, Enzoen
dc.date.accessioned2008-02-20-
dc.date.accessioned2009-07-23T15:03:22Z-
dc.date.available2009-07-23T15:03:22Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2007,064en
dc.subject.jelC32en
dc.subject.jelG10en
dc.subject.ddc330en
dc.subject.keywordIdentificationen
dc.subject.keywordSpilloveren
dc.subject.keywordCommon Factoren
dc.subject.keywordStructural EGARCHen
dc.subject.keywordDAXen
dc.subject.stwBörsenkursen
dc.subject.stwAktienindexen
dc.subject.stwMarktsegmentierungen
dc.subject.stwSpillover-Effekten
dc.subject.stwKorrelationen
dc.subject.stwKausalanalyseen
dc.subject.stwDeutschlanden
dc.titleCorrelation vs. causality in stock market comovement-
dc.type|aWorking Paperen
dc.identifier.ppn558645585en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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