EBSLG

 

 
European Business Schools Librarian's Group
Home About Series Subject/JEL codes Advanced Search
Kiel Institute for World Economics Kiel Working Papers, Kiel Institute for World Economics

No 1213:
Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913

Christian Pierdzioch

Abstract: 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 time-pattern of predictability of returns is consistent with feedback effects of futures trading on the spot market.

Keywords: Stock market; Return Predictability; Germany; (follow links to similar papers)

JEL-Codes: G14,; N24; (follow links to similar papers)

26 pages, May 2004

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Downloadable files:

kap1213.pdf    PDF-file
Download Statistics


Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design Joakim Ekebom

Handle: RePEc:kie:kieliw:1213 This page was generated on 2015-03-29 21:03:25