IDEAS home Printed from https://ideas.repec.org/a/nms/wsimit/10.5771-0342-300x-2007-12-657.html
   My bibliography  Save this article

Die manisch-depressiven Preisschwankungen auf den Finanzmärkten - Wie macht das die 'unsichtbare Hand'?

Author

Listed:
  • Schulmeister, Stephan

Abstract

Spekulative Preise schwanken kurzfristig um "underlying trends". Solche Kursschübe ("runs") zeigen sich auf unterschiedlichen Zeitskalen (von Minuten- bis zu Monatsdaten). Mehrjährige "bull (bear) markets" resultieren aus der Akkumulation von Kursschüben auf Basis von Tageskursen, welche nach oben (unten) länger dauern als die Gegenbewegungen. Kursschübe werden durch neue Informationen ("news") ausgelöst, durch nachfolgende Handelssignale technischer Spekulationssysteme verstärkt und durch den "Einstieg" von Amateuren verlängert. Je länger ein Trend dauert, desto mehr verliert er an Dynamik, schließlich lösen die "contrarian strategies" der technischen Analyse gemeinsam mit "news" ein "Kippen" in eine Gegenbewegung aus. Kursschübe in eine Richtung verfestigen sich. Sie dauern länger als die "Gegenbewegungen", weil auf Finanzmärkten ein Erwartungsbias ("expectational bias") herrscht ("bullishness/bearishness"). Dieser verursacht bei Marktteilnehmern eine "selektive Wahrnehmung": Auf "news", die der "Marktstimmung" entsprechen, wird stärker reagiert als auf gegenteilige Nachrichten.

Suggested Citation

  • Schulmeister, Stephan, 2007. "Die manisch-depressiven Preisschwankungen auf den Finanzmärkten - Wie macht das die 'unsichtbare Hand'?," WSI-Mitteilungen, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 60(12), pages 657-663.
    • Handle: RePEc:nms:wsimit:10.5771/0342-300x-2007-12-657
    DOI: 10.5771/0342-300X-2007-12-657
    as

    Download full text from publisher

    File URL: https://www.nomos-elibrary.de/10.5771/0342-300X-2007-12-657
    Download Restriction: no
    File URL: https://libkey.io/10.5771/0342-300X-2007-12-657?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    2. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
    3. Schulmeister, Stephan, 2006. "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
    4. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
    5. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    6. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
    7. Shiller, Robert J., 1999. "Human behavior and the efficiency of the financial system," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 20, pages 1305-1340, Elsevier.
    8. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
    9. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    10. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
    11. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
    12. repec:cdl:ucsbec:13-89 is not listed on IDEAS
    13. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    14. Thomas Gehrig & Lukas Menkhoff, 2006. "Extended evidence on the use of technical analysis in foreign exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 327-338.
    15. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gustav A. Horn & Alexander Herzog-Stein & Silke Tober & Achim Truger, 2012. "Den Bann durchbrechen - Wirtschaftspolitische Herausforderungen 2012," IMK Report 70-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, Juni.
    2. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    3. Stephan Schulmeister, 2014. "A General Financial Transactions Tax. Motives, Effects and Implementation According to the Proposal of the European Commission," WIFO Working Papers 461, WIFO.
    4. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    5. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," CEPN Working Papers halshs-02956879, HAL.
    6. Frömmel, Michael & Lampaert, Kevin, 2016. "Does frequency matter for intraday technical trading?," Finance Research Letters, Elsevier, vol. 18(C), pages 177-183.
    7. Oscar Jorda, "undated". "Carry Trade," Working Papers 1018, University of California, Davis, Department of Economics.
    8. Oscar Jorda, 2010. "Carry Trade," Working Papers 196, University of California, Davis, Department of Economics.
    9. Stephan Schulmeister, 2009. "Trading Practices and Price Dynamics in Commodity Markets and the Stabilising Effects of a Transaction Tax," WIFO Studies, WIFO, number 34919, Juni.
    10. Schulmeister, Stephan, 2009. "Aggregate trading behaviour of technical models and the yen/dollar exchange rate 1976-2007," Japan and the World Economy, Elsevier, vol. 21(3), pages 270-279, August.
    11. Stephan Schulmeister & Margit Schratzenstaller & Oliver Picek, 2008. "A General Financial Transaction Tax. Motives, Revenues, Feasibility and Effects," WIFO Studies, WIFO, number 31819, Juni.
    12. Stephan Schulmeister, 2012. "Technical Trading and Commodity Price Fluctuations," WIFO Studies, WIFO, number 45238, Juni.
    13. Michael Frömmel & Darko B. Vukovic & Jinyuan Wu, 2022. "The Dollar Exchange Rate, Adjustment to the Purchasing Power Parity, and the Interest Rate Differential," Mathematics, MDPI, vol. 10(23), pages 1-17, November.
    14. Michael Takudzwa Pasara & Vincent Mugwira, 2023. "Exchange Rate (MIS-) Alignment: An Application of the Behavioural Equilibrium Exchange Rate (beer) Approach to Zimbabwe (1990-2018)," International Journal of Economics and Financial Issues, Econjournals, vol. 13(5), pages 128-141, September.
    15. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
    16. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    17. Stephan Schulmeister, 2023. "Stabilizing Asset Prices through Transition from Continuous Trading to Electronic Auctions," WIFO Working Papers 666, WIFO.
    18. Luke Lin & Chun I. Lee, 2016. "Central Bank Intervention, Exchange Rate Regime and the Purchasing Power Parity," The World Economy, Wiley Blackwell, vol. 39(8), pages 1256-1274, August.
    19. Terra, Cristina & Valladares, Frederico, 2010. "Real exchange rate misalignments," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 119-144, January.
    20. Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nms:wsimit:10.5771/0342-300x-2007-12-657. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nomos Verlagsgesellschaft mbH & Co. KG (email available below). General contact details of provider: http://www.nomos.de/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.