Volatility of the German stock market: evidence from 1960 - 1994
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Bern [u.a.]
Haupt
2000
|
| Series: | Bank- und finanzwirtschaftliche Forschungen
317 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 115 S. graph. Darst. |
| ISBN: | 3258062358 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804128036191207424 |
|---|---|
| adam_text | Contents
Contents
1. Introduction 1
1.1 Motivation 1
1.2 Results 2
1.3 Detailed Outline 3
2. Literature Review 9
2.1 The Economic Importance of Volatility 9
2.1.1 The Relation Between Volatility and Spending and Saving
Behavior 9
2.1.2 The Relation Between Volatility and Stock Prices 10
2.1.3 The Relation Between Volatility and Option Prices 13
2.2 Time Varying Volatility 14
3. Data Description and Sample Distribution 25
3.1 Data 25
3.2 Sample Distribution 26
3.2.1 Daily Returns 26
3.2.2 Monthly Returns 30
4. Description of the Methodology Used to Estimate Volatility 33
4.1 Daily Volatility 33
4.2 Monthly Volatility 42
1
5. The Information Content of Economic Variables 45
5.1 Daily Data 45
5.1.1 The Impact of News 45
5.1.2 The News Impact Curve 49
5.1.3 The Impact of Macroeconomic News Releases 53
5.1.4 The Impact of Seasonal Dummies 65
5.1.5 The Information Content of the Dividend Yield 69
5.2 Monthly Data 74
5.2.1 German Data 74
5.2.2 U.S. Data 77
5.2.3 German and U.S. Data 79
5.2.4 Test for Multicollinearity 82
6. Comparison of the Conditions Before and After Reunification 85
6.1 Daily Data 86
6.1.1 News Dummy 86
6.1.2 Announcement Dummies °
6.1.3 Seasonal Dummies 92
6.1.4 Dividend Yield Dummy 92
6.2 Monthly Data 95
6.2.1 German Data 95
6.2.2 U.S. Data 98
6.2.3 German and U.S. Data 101
7. Condusion 103
8. References 105
|
| any_adam_object | 1 |
| author | Edelmann, Ralf |
| author_facet | Edelmann, Ralf |
| author_role | aut |
| author_sort | Edelmann, Ralf |
| author_variant | r e re |
| building | Verbundindex |
| bvnumber | BV013269414 |
| callnumber-first | H - Social Science |
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| callnumber-raw | HG4636.E34 2000 |
| callnumber-search | HG4636.E34 2000 |
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| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)47081552 (DE-599)BVBBV013269414 |
| discipline | Wirtschaftswissenschaften |
| era | Geschichte 1960-1994 gnd |
| era_facet | Geschichte 1960-1994 |
| format | Thesis Book |
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| id | DE-604.BV013269414 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:42:51Z |
| institution | BVB |
| isbn | 3258062358 |
| language | English |
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| series | Bank- und finanzwirtschaftliche Forschungen |
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| spelling | Edelmann, Ralf Verfasser aut Volatility of the German stock market evidence from 1960 - 1994 Ralf Edelmann Bern [u.a.] Haupt 2000 115 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank- und finanzwirtschaftliche Forschungen 317 Zugl.:Trier, Univ., Diss., 2000 Geschichte 1960-1994 gnd rswk-swf Mathematisches Modell Stocks -- Prices -- Germany -- Mathematical models Stock exchanges -- Germany Aktienrendite (DE-588)4126593-2 gnd rswk-swf GARCH-Prozess (DE-588)4346436-1 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Deutschland Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Aktienmarkt (DE-588)4130931-5 s Volatilität (DE-588)4268390-7 s DE-604 Aktienkurs (DE-588)4141736-7 s Geschichte 1960-1994 z Aktienrendite (DE-588)4126593-2 s GARCH-Prozess (DE-588)4346436-1 s Bank- und finanzwirtschaftliche Forschungen 317 (DE-604)BV023546687 317 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009046833&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Edelmann, Ralf Volatility of the German stock market evidence from 1960 - 1994 Bank- und finanzwirtschaftliche Forschungen Mathematisches Modell Stocks -- Prices -- Germany -- Mathematical models Stock exchanges -- Germany Aktienrendite (DE-588)4126593-2 gnd GARCH-Prozess (DE-588)4346436-1 gnd Volatilität (DE-588)4268390-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Aktienkurs (DE-588)4141736-7 gnd |
| subject_GND | (DE-588)4126593-2 (DE-588)4346436-1 (DE-588)4268390-7 (DE-588)4130931-5 (DE-588)4141736-7 (DE-588)4011882-4 (DE-588)4113937-9 |
| title | Volatility of the German stock market evidence from 1960 - 1994 |
| title_auth | Volatility of the German stock market evidence from 1960 - 1994 |
| title_exact_search | Volatility of the German stock market evidence from 1960 - 1994 |
| title_full | Volatility of the German stock market evidence from 1960 - 1994 Ralf Edelmann |
| title_fullStr | Volatility of the German stock market evidence from 1960 - 1994 Ralf Edelmann |
| title_full_unstemmed | Volatility of the German stock market evidence from 1960 - 1994 Ralf Edelmann |
| title_short | Volatility of the German stock market |
| title_sort | volatility of the german stock market evidence from 1960 1994 |
| title_sub | evidence from 1960 - 1994 |
| topic | Mathematisches Modell Stocks -- Prices -- Germany -- Mathematical models Stock exchanges -- Germany Aktienrendite (DE-588)4126593-2 gnd GARCH-Prozess (DE-588)4346436-1 gnd Volatilität (DE-588)4268390-7 gnd Aktienmarkt (DE-588)4130931-5 gnd Aktienkurs (DE-588)4141736-7 gnd |
| topic_facet | Mathematisches Modell Stocks -- Prices -- Germany -- Mathematical models Stock exchanges -- Germany Aktienrendite GARCH-Prozess Volatilität Aktienmarkt Aktienkurs Deutschland Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009046833&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023546687 |
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