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Kurseinfluss mittlerer und großer Transaktionen am deutschen Aktienmarkt

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  • Oehler, Andreas
  • Häcker, Mirko
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    Abstract

    26 Aktien des Deutschen Aktienindex DAX mit 71% Marktkapitalisierung und 84% Anteil am Gesamtumsatz werden über 249 Handelstage des Jahres 1997 auf den Kurseinfluss der Transaktionsgröße hin analysiert. Der verwendete Satz hochfrequenter Transaktionsdaten erlaubt in dieser Form erstmals für den deutschen Aktienmarkt eine differenzierte Untersuchung, inwieweit eine handelsinduzierte Preisbewegung auf mittlere und große Transaktionen zurückgeführt werden kann. Methodisch findet dabei eine Orientierung an den Aufgabegeschäften der Makler statt, die speziell für die vorliegende Analyse zur Verfügung gestellt worden sind. Eine Determination aufgrund öffentlicher Informationen kann unter Beachtung bestimmter Volumina für das Transaktionsverhalten weitgehend eliminiert werden. Die Ergebnisse der Studie zeigen einen deutlichen permanenten Preiseinfluss für mittlere und große Transaktionen. Der Effekt ist jedoch nicht linear, d.h. der Preiseinfluss mittelgroßer Transaktionen ist höher. Dies kann als ein erster Beleg für das sog. Stealth Trading am deutschen Markt gewertet werden, auch wenn kein exakter Beweis geführt werden kann, dass die Transaktionen nur von informierten bzw. institutionellen Investoren initiiert worden sind. --

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    Bibliographic Info

    Paper provided by University of Bamberg, Chair of Finance in its series Discussion Papers with number 20.

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    Date of creation: 2003
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    Handle: RePEc:zbw:bamfin:20

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    Web page: http://www.uni-bamberg.de/en/bwl-finanz/

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    Keywords: Market Microstructure; Price Impact; Institutional Investors; Stealth Trading;

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