Kiel Working Papers, Kiel Institute for World Economics
No 1265:
Investing in European Stock Markets for High-Technology Firms
Christian Pierdzioch and Andrea Schertler
Abstract: 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 substantial 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
markettiming skills.
Keywords: Recursive modeling approach; Comovement of returns; Hightechnology firms learning by exporting, total factor productivity, export destination, quantile regression, instrumental variables; (follow links to similar papers)
JEL-Codes: B22,; C32,; E24; (follow links to similar papers)
30 pages, January 2006
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