Arbeitspapier
Investing in European Stock Markets for High-Technology Firms
We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché, the Alternative Investment Market, and the NASDAQ. We found substan-tial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. We also studied how monitoring the comovement of stock markets would have affected the performance of simple trading rules and investor's market-timing skills.
- Sprache
-
Englisch
- Erschienen in
-
Series: Kiel Working Paper ; No. 1265
- Klassifikation
-
Wirtschaft
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
History of Economic Thought: Macroeconomics
- Thema
-
Recursive modeling approach ; Comovement of returns ; High-technology firms
Börsenkurs
Internationaler Preiszusammenhang
Neuer Markt
Wertpapieranalyse
Prognoseverfahren
Schätzung
Deutschland
Frankreich
Großbritannien
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Pierdzioch, Christian
Schertler, Andrea
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel Institute for World Economics (IfW)
- (wo)
-
Kiel
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Pierdzioch, Christian
- Schertler, Andrea
- Kiel Institute for World Economics (IfW)
Entstanden
- 2005
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