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Investing in European stock markets for high-technology firms

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  • Pierdzioch, Christian
  • Schertler, Andrea

Abstract

We used a recursive modeling approach to study whether investors, in real time could, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We analyzed weekly data on returns in the Neuer Markt, the Nouveau Marché, the Alternative Investment Market, and the NASDAQ. We found substantial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. We also studied how monitoring the comovement of stock markets would have affected the performance of simple trading rules and the investors' market-timing ability of investors.

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 18 (2008)
Issue (Month): 3 ()
Pages: 400-415

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Handle: RePEc:eee:glofin:v:18:y:2008:i:3:p:400-415

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Web page: http://www.elsevier.com/locate/inca/620162

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Cited by:
  1. Arouri, Mohamed El Hedi, 2011. "Does crude oil move stock markets in Europe? A sector investigation," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 1716-1725, July.

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