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New sight of herding behavioural through trading volume

Hachicha, Nizar - Institut für Weltwirtschaft (IfW) - 2010

on the cross sectional dispersion of trading volume to examine the herding behavior on Toronto stock exchange. Our … findings show that the herd phenomenon consists of three essential components: stationary herding which signals the existence … of the phenomenon whatever the market conditions, intentional herding relative to the anticipations of the investors …

Persistent link: https://www.econbiz.de/10008555992

Switching Rates and the Asymptotic Behavior of Herding Models

Irle, Albrecht; Kauschke, Jonas; Lux, Thomas; … - Institut für Weltwirtschaft (IfW) - 2010

apply to agent-based herding models, with the particular goal of establishing their asymptotic behavior because several …

Persistent link: https://www.econbiz.de/10008583487

Politics and the Stock Market ; Evidence from Germany

Döpke, Jörg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004

We analyze the interaction of stock market movements and politics in Germany. In contrast to the empirical evidence available for the U.S., we do not find that German stock market returns tend to be higher during liberal than during conservative governments. Also in contrast to results for the...

Persistent link: https://www.econbiz.de/10005700518

Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913

Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004

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...

Persistent link: https://www.econbiz.de/10005818851

Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - Institut für Weltwirtschaft (IfW) - 2014

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectation-formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time...

Persistent link: https://www.econbiz.de/10011208177

Exporters in the Financial Crisis

Görg, Holger; Spaliara, Marina-Eliza - Institut für Weltwirtschaft (IfW) - 2014

Using a large panel of UK manufacturing firms over the period 2000—2009, we consider how firms responded during the most recent financial crisis, estimating models for export market participation decisions and firm growth and survival. The results indicate that financial variables are highly...

Persistent link: https://www.econbiz.de/10010886868

Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes

Finger, Karl; Fricke, Daniel; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2012

In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily...

Persistent link: https://www.econbiz.de/10010886878

Real Financial Market Exchange Rates and Capital Flows

Leppin, Julian S.; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2014

index for current and future economics situation, and the VStoxx. These variables describe the market’s transition between …

Persistent link: https://www.econbiz.de/10010886881

Euro Area: Single Currency - National Money Creation

Kooths, Stefan; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2012

The Eurosystem has been pursuing a crisis management policy for more than four years now. This policy aims primarily at maintaining financial stability in the euro area by providing vast liquidity support to commercial banks that are operating in nationally segmented banking systems. As a side...

Persistent link: https://www.econbiz.de/10010886947

Friendship between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations

Finger, Karl; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014

This paper investigates the driving forces behind banks’ link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...

Persistent link: https://www.econbiz.de/10010905563