scholarly journals Covariances vs. characteristics: what does explain the cross section of the German stock market returns?

2016 ◽  
Vol 9 (1) ◽  
pp. 27-50 ◽  
Author(s):  
Christian Fieberg ◽  
Armin Varmaz ◽  
Thorsten Poddig
Keyword(s):  
Stock Market ◽  
Cross Section ◽  
Market Returns ◽  
Stock Market Returns ◽  
German Stock ◽  
The Cross ◽  
German Stock Market

Initial Public Offerings in Germany between 1997 and 2015

2018 ◽  
pp. 558-572
Author(s):  
Andreas Oehler ◽  
Tim Herberger ◽  
Matthias Horn
Keyword(s):  
Stock Market ◽  
Initial Public Offerings ◽  
Market Liquidity ◽  
Subprime Crisis ◽  
Market Returns ◽  
Stock Market Returns ◽  
Public Offerings ◽  
German Stock ◽  
German Stock Market ◽  
Dot Com

This chapter focuses on the German IPO market from 1997 to 2015. More specifically, it provides a descriptive overview of the IPO activities in Germany in the last two decades, and analyzes the IPO market’s dependence on the yearly return and turnover of the German stock market. It shows that most IPOs and highest volumes were observed during the dot-com bubble phase (1997–2000) and that the German IPO market’s liquidity shows a stable development in the last years after the subprime crisis. The results of the regression analyses show that the IPO market activity strongly depends on the overall stock market turnover. But the stock market returns play a subordinated role for the IPO market liquidity in Germany.

scholarly journals The Standard Portfolio Choice Problem in Germany*

2021 ◽  
Author(s):  
Christoph Breunig ◽  
Steffen Huck ◽  
Tobias Schmidt ◽  
Georg Weizsäcker
Keyword(s):  
Stock Market ◽  
Portfolio Choice ◽  
Laboratory Experiments ◽  
Task Complexity ◽  
Real Life ◽  
Choice Problem ◽  
Market Returns ◽  
Stock Market Returns ◽  
German Stock ◽  
German Stock Market

Abstract We study an investment experiment with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable external validity at least in one respect: they predict real-life stock market participation. But many households are unresponsive to an exogenous increase in the risky asset’s return. The data analysis and a series of additional laboratory experiments suggest that task complexity decreases the responsiveness to incentives. Modifying the safe asset’s return has a larger effect on behaviour than modifying the risky asset’s return.

Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German Stock Market

2007 ◽  
Vol 227 (1) ◽  
Author(s):  
Horst Entorf ◽  
Christian Steiner
Keyword(s):  
New York ◽  
Stock Market ◽  
Business Cycle ◽  
High Efficiency ◽  
Stock Exchange ◽  
Good News ◽  
Stock Market Index ◽  
Stock Market Returns ◽  
German Stock ◽  
German Stock Market

SummaryWe study the response of the German stock market index DAX to the announcement of macroeconomic business cycle forecasts. Returns are computed using high-frequency data observed for 15-second intervals. Publications of macroeconomic US indicators at 2:30 p.m. (CET) have temporary and opening of the New York Stock Exchange at 3:30 p.m. (CET) have permanent effects on the volatility of the German DAX. Moreover, the intraday volatility of the DAX index has a U-shaped form, which has also been identified for other international stock markets. Major reactions of both returns and volatility occur within the first 15 to 60 seconds after the announcement, revealing a high efficiency of the German capital market. Unanticipated shocks cause asymmetric stock market returns: “good” news lead to more pronounced reactions than “bad” news. Moreover, there is evidence of mean reversion and calm-before-thestorm effects. Finally, serial correlation of returns is found to be a potentially spurious result of non-anticipated announcements of macroeconomic news.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

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