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Interdependenzen in den Renditen DAX-notierter Unternehmen nach Branchen

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  • Jonas Teitge
  • Andreas Nastansky
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    Abstract

    Die Identifikation von Einflussfaktoren und deren Wirkungsrichtung auf die Kursentwicklung einer Aktie ist von großer Bedeutung für die Finanzmarktanalyse. Die wechselseitigen Zusammenhänge zwischen den Renditen spezifischer Aktien sind solche relevante Informationen. In diesem Beitrag werden die Interdependenzen von Aktienrenditen auf der Grundlage vektorautoregressiver (VAR)-Modelle für kleine, homogene Brachen- und Marktsegmente analysiert. Hierzu wurden die Renditen ausgewählter im Deutschen Aktienindex (DAX) notierter Unternehmen zu drei Branchensegmenten zusammengefasst. Darüber hinaus zeigt sich am Beispiel der Hoechst-Aktie, dass eine gemeinsame DAX-Notierung Einfluss auf das Beziehungsgeflecht der Renditen innerhalb eines Brachensegmentes nimmt.

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    File URL: http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-52084
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    Bibliographic Info

    Paper provided by Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät in its series Statistische Diskussionsbeiträge with number 47.

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    Date of creation: Apr 2011
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    Handle: RePEc:pot:statdp:47

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    Related research

    Keywords: Vektorautoregressive Modelle; Deutscher Aktienindex; Aktienrenditen; Impuls-Response-Analyse; Strukturbruch;

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