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Stochastic Properties of German Stock Returns

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Author Info

  • Kramer, Walter
  • Runde, Ralf

Abstract

We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of the tests for serial correlation, depends on distributional assumptions which are often overlooked.

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 21 (1996)
Issue (Month): 2 ()
Pages: 281-306

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Handle: RePEc:spr:empeco:v:21:y:1996:i:2:p:281-306

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Cited by:
  1. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  2. Brian Lucey, 2004. "Robust estimates of daily seasonality in the Irish equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 14(7), pages 517-523.
  3. Koch, Rosemarie & Stadtmann, Georg, 2010. "Das Gesetz zur Angemessenheit der Vorstandsvergütung," Discussion Papers 288, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.

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