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Manipulation in political stock markets : preconditions and evidence

Hansen, Jan; Schmidt, Carsten; Strobel, Martin - 2001

Political stock markets (PSM) are sometimes seen as substitutes for opinion polls. On the bases of a behavioral model, specific preconditions were drawn out under which manipulation in PSM can weaken this argument. Evidence for manipulation is reported from the data of two separate PSM during...

Persistent link: https://www.econbiz.de/10009614875

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only … size and book-to-market ratio capture the cross-sectional variation of US stock returns better than other combinations of …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest …

Persistent link: https://www.econbiz.de/10009661022

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for … returns in the period 1960-79. Within two subsamples obtained from the period 1980-97 the evidence in favour of such effects …

Persistent link: https://www.econbiz.de/10009580468

Estimation in an additive model when the components are linked parametrically

Carroll, Raymond J.; Härdle, Wolfgang; Mammen, Enno - 1999

Motivated by a nonparametric GARCH model we consider nonparametric additive regression and autoregression models in the special case that the additive components are linked parametrically. We show that the parameter can be estimated with parametric rate and give the normal limit. Our procedure...

Persistent link: https://www.econbiz.de/10009579184

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis

Hafner, Christian M.; Herwartz, Helmut - 1999

Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a … option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity …

Persistent link: https://www.econbiz.de/10009580460

A local instrumental estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - 2000

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

Persistent link: https://www.econbiz.de/10009612037

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...

Persistent link: https://www.econbiz.de/10009579173

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

of voting and non-voting stocks. Despite its intuitive appeal, we find little evidence for a nonlinear relationship …

Persistent link: https://www.econbiz.de/10009581105

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383

Ergodic fluctuations in a stock market model with interacting agents : the mean field case

Horst, Ulrich - 1999

We consider a financial market model with interacting agents and study the long run behaviour of both aggregate behaviour and equilibrium prices. Investors are heterogeneous in their price expectations and they get stochastic signals about the "mood" of the market described by the empirical...

Persistent link: https://www.econbiz.de/10009582400