Investing in European Stock Markets for High-Technology Firms

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1265

Classification and Topics

• Classification: 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
• Subject: Recursive modeling approach ; Comovement of returns ; High-technology firms ; Börsenkurs ; Internationaler Preiszusammenhang ; Neuer Markt ; Wertpapieranalyse ; Prognoseverfahren ; Schätzung ; Deutschland ; Frankreich ; Großbritannien ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Pierdzioch, Christian ; Schertler, Andrea
• Event: Veröffentlichung
• (who): Kiel Institute for World Economics (IfW)
• (where): Kiel
• (when): 2005

Further information

• Handle: http://hdl.handle.net/10419/17813
• Last update: 10.03.2025, 11:42 AM CET