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Politics and the Stock Market: Evidence from Germany
Pierdzioch, Christian; Döpke, Jörg - 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/10010260493
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Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913
Pierdzioch, Christian - 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 by...
Persistent link: https://www.econbiz.de/10010260497
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Mass psychology in action: identification of social interaction effects in the German stock market
Lux, Thomas - 2009
We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a … DAX enables us to study the influence of sentiment on returns within a behavioral model of boundedly rational traders …) by generalizing it to bivariate and trivariate settings. As it turns out, short-term sentiment is governed by strong …
Persistent link: https://www.econbiz.de/10010269717
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Nonlinear expectation formation in the U.S. stock market: Empirical evidence from the Livingston survey
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015
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/10011453726
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Heterogeneous forecasters and nonlinear expectation formation in the US stock market
Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 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/10010392337
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Sentiment dynamics and stock returns: the case of the German stock market
Lux, Thomas - 2008
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal … tri-variate vector autoregression for short-run sentiment, medium-run sentiment and stock index returns allows to reject … medium-run sentiment, or returns form a simultaneous systems together with the two sentiment measures. An out …
Persistent link: https://www.econbiz.de/10010263537
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010273169
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Overconfidence and bubbles in experimental asset markets
Michailova, Julija; Schmidt, Ulrich - 2011
This paper investigates the relationship between market overconfidence and occurrence of stock-price bubbles. Sixty participants traded stocks in ten experimental asset markets. Markets were constructed on the basis of subjects' overconfidence, measured in pre-experimental sessions. The most...
Persistent link: https://www.econbiz.de/10010285715
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Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach
Lux, Thomas - 2012
for the estimation of a joint system of short-run and medium run investor sentiment and asset price dynamics using German …
Persistent link: https://www.econbiz.de/10010287012
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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
We examine the performance of volatility models that incorporate features such as long (short) memory, regime-switching and multifractality along with two competing distributional assumptions of the error component, i.e. Normal vs Student-t. Our precise contribution is twofold. First, we...
Persistent link: https://www.econbiz.de/10010265243