Volatility of the German Stock Market
Evidence from 1960-1994. Diss.
(Sprache: Englisch)
As a result of the growing interest in the stock market, investors are focusing on the volatility of stock returns. This study investigates the volatility of the German stock market for the period 1960 through 1994. The major shortcoming in several models...
Leider schon ausverkauft
versandkostenfrei
Buch
24.00 €
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
Produktdetails
Produktinformationen zu „Volatility of the German Stock Market “
Klappentext zu „Volatility of the German Stock Market “
As a result of the growing interest in the stock market, investors are focusing on the volatility of stock returns. This study investigates the volatility of the German stock market for the period 1960 through 1994. The major shortcoming in several models (see for example the CAPM or the Black-Scholes formula) is the assumption of constant volatility. Thus, the main focus of this study is to determine sources that drive the volatility to be time-varying. In order to allow the volatility to be time-varying the author applies an AGARCH model (Asymmetric Generalized Autoregressive Conditional Heteroskedasticity). He finds an existing leverage effect and also the dividend yield of the DAX to be an important variable in explaining the volatility of German stock returns. Spillover effects from the U.S. stock market to Europe or Japan have often been recognized. Here, the author empirically proves that the announcements of U.S. macroeconomic variables substantially influence the volatility o f German stock returns. Finally, the affect of the German reunification on the volatility is shown.
Bibliographische Angaben
- Autor: Ralf Edelmann
- 2000, 115 Seiten, Maße: 22,5 cm, Kartoniert (TB), Englisch
- Verlag: Haupt
- ISBN-10: 3258062358
- ISBN-13: 9783258062358
Sprache:
Englisch
Kommentar zu "Volatility of the German Stock Market"
0 Gebrauchte Artikel zu „Volatility of the German Stock Market“
Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
---|
Schreiben Sie einen Kommentar zu "Volatility of the German Stock Market".
Kommentar verfassen