Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/17763| Title: | Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913 |
| Keywords: | G14 N24 ddc:330 Stock market Return Predictability Germany Börsenkurs Kapitalertrag Zeitreihenanalyse Schätzung Deutschland |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over the period 1880?1913. I find that the extent to which returns were predictable underwent significant changes over time. Specifically, predictability of returns, as measured by their first-order autocorrelation coefficient, was positive most of the time. It tended to be significant during extended periods of stock market decline, but not during periods of stock market increase. I argue that this timepattern of predictability of returns is consistent with feedback effects of futures trading on the spot market. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/17763 |
| Other Identifiers: | http://hdl.handle.net/10419/17763 ppn:388195967 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.