| dc.creator |
Pierdzioch, Christian |
|
| dc.date |
2004 |
|
| dc.date.accessioned |
2013-10-16T06:56:38Z |
|
| dc.date.available |
2013-10-16T06:56:38Z |
|
| dc.date.issued |
2013-10-16 |
|
| dc.identifier |
http://hdl.handle.net/10419/17763 |
|
| dc.identifier |
ppn:388195967 |
|
| dc.identifier.uri |
http://koha.mediu.edu.my:8181/xmlui/handle/10419/17763 |
|
| dc.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. |
|
| dc.language |
eng |
|
| dc.publisher |
Kiel Institute for the World Economy (IfW) Kiel |
|
| dc.relation |
Kieler Arbeitspapiere 1213 |
|
| dc.rights |
http://www.econstor.eu/dspace/Nutzungsbedingungen |
|
| dc.subject |
G14 |
|
| dc.subject |
N24 |
|
| dc.subject |
ddc:330 |
|
| dc.subject |
Stock market |
|
| dc.subject |
Return Predictability |
|
| dc.subject |
Germany |
|
| dc.subject |
Börsenkurs |
|
| dc.subject |
Kapitalertrag |
|
| dc.subject |
Zeitreihenanalyse |
|
| dc.subject |
Schätzung |
|
| dc.subject |
Deutschland |
|
| dc.title |
Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913 |
|
| dc.type |
doc-type:workingPaper |
|
| dc.coverage |
1880-1913 |
|