Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/44942 
Full metadata record
DC FieldValueLanguage
dc.contributor.authorDobrić, Jadranen
dc.contributor.authorFrahm, Gabrielen
dc.contributor.authorSchmid, Friedrichen
dc.date.accessioned2009-09-14-
dc.date.accessioned2011-04-14T12:23:23Z-
dc.date.available2011-04-14T12:23:23Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/44942-
dc.description.abstractPearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is purely nonparametric and we avoid any kind of model misspecification. We derive hypothesis tests for the conditional Spearman's rho in bull andbearmarkets and verify the tests by Monte Carlo simulation.Further, we study the daily returns of stocks contained in the German stock index DAX 30. We find some significant differences in dependence of stock returns in bull and bear markets. On the other hand the differences are not so strong as one might expect.en
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Seminar of Economic and Social Statistics |cCologneen
dc.relation.ispartofseries|aDiscussion Papers in Statistics and Econometrics |x9/07en
dc.subject.jelC14en
dc.subject.jelC12en
dc.subject.ddc330en
dc.subject.keywordbear marketen
dc.subject.keywordbootstrappingen
dc.subject.keywordbull marketen
dc.subject.keywordconditional Spearman's rhoen
dc.subject.keywordcopulasen
dc.subject.keywordMonte Carlo simulationen
dc.subject.keywordstock returnsen
dc.titleDependence of stock returns in bull and bear markets-
dc.typeWorking Paperen
dc.identifier.ppn60870220Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ucdpse:907en

Files in This Item:
File
Size
175.57 kB





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