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Erhöhen Indexstrategien und Indexarbitrage das systematische Risiko?

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  • Herrmann Ralf

    (Dipl. Wirt.-Ing., Wissenschaftlicher Mitarbeiter an der Universität Karlsruhe)

Abstract

Das systematische Risiko deutscher Aktien nimmt zu. Das gilt besonders für DAX-Aktien. Die vorliegende Arbeit untersucht die Folgen der DAX-Einführung und späterer Veränderungen des Indexportfolios auf die Korrelation der Aktienrenditen. Es stellt sich die Frage, ob die Zunahme von Indexstrategien den Anstieg des systematischen Risikos bewirkt hat.

Suggested Citation

  • Herrmann Ralf, 1998. "Erhöhen Indexstrategien und Indexarbitrage das systematische Risiko?," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 10(1), pages 15-23, February.
    • Handle: RePEc:bpj:zfbrbw:v:10:y:1998:i:1:p:15-23:n:4
    DOI: 10.15375/zbb-1998-0104
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