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Transitions in the stock markets of the US, UK and Germany

Author

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  • Matthias Raddant
  • Friedrich Wagner

Abstract

In an analysis of the US, the UK and German stock market, we find a change in the behaviour based on the stocks’ beta values. In the years 1995–2006, trades of stocks with high beta and large volume were concentrated in the IT and technology sector, whereas in 2006–2012 those trades are dominated by stocks from the financial sector. We show that an agent-based model can reproduce such a transition. We further show that the initial impulse for the transition might stem from the increase of high-frequency trading at that time.

Suggested Citation

  • Matthias Raddant & Friedrich Wagner, 2017. "Transitions in the stock markets of the US, UK and Germany," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 289-297, February.
  • Handle: RePEc:taf:quantf:v:17:y:2017:i:2:p:289-297
    DOI: 10.1080/14697688.2016.1183812
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy (IfW).
    2. Matthias Raddant & Dror Y. Kenett, 2016. "Interconnectedness in the Global Financial Market," Working Papers 16-09, Office of Financial Research, US Department of the Treasury.
    3. Matthias Raddant & Friedrich Wagner, 2016. "Multivariate Garch with dynamic beta," Papers 1609.07051, arXiv.org, revised Nov 2019.
    4. Raddant, Matthias, 2016. "The response of European stock markets to the Brexit," Kiel Policy Brief 100, Kiel Institute for the World Economy (IfW).

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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