"Excess Volatility" and the German Stock Market, 1870-1990
AbstractThis paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the Germanstock market has also possessed "excess volatility" over the past century. It finds no evidence or excess volatility in the pre-WWI German stock market. By contrast, there is some evidence of excess- volatiltiy in the post-WWII German stock market. The role played by the German Great Banks in the pre- WWI market might be the cause of the low comparative volatility of German stock indices before 1914.
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Bibliographic InfoPaper provided by EconWPA in its series Economic History with number 9509002.
Length: 27 pages
Date of creation: 24 Sep 1995
Date of revision:
Note: Type of Document - Adobe Acrobat .pdf file; prepared on Macintosh; to print on Postscript (.pdf); pages: 27 ; figures: included
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long run stock market volatility Shiller test German finance capitalism variance bounds;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends,"
Cowles Foundation Discussion Papers
858, Cowles Foundation for Research in Economics, Yale University.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1989. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Robert B. Barsky & J. Bradford De Long, 1989.
"Bull and Bear Markets in the Twentieth Century,"
NBER Working Papers
3171, National Bureau of Economic Research, Inc.
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