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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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  1. Forbes, Kristin J. & Chinn, Menzie David, 2003. "A Decomposition Of Global Linkages In Financial Markets Over Time," Santa Cruz Department of Economics, Working Paper Series qt4391b5w7, Department of Economics, UC Santa Cruz.
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  7. Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
  8. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-28.
  9. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June.
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  11. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
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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, vol. 28(4), pages 1716-1725, July.

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