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Transitions in the Stock Markets of the US, UK, and Germany

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  • Matthias Raddant
  • Friedrich Wagner

Abstract

In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We show that an agent-based model can reproduce these changes. 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, 2015. "Transitions in the Stock Markets of the US, UK, and Germany," Papers 1504.06113, arXiv.org.
  • Handle: RePEc:arx:papers:1504.06113
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    References listed on IDEAS

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    Cited by:

    1. Raddant, Matthias & Kenett, Dror, 2016. "Interconnectedness in the global financial market," Annual Conference 2016 (Augsburg): Demographic Change 145560, Verein für Socialpolitik / German Economic Association.
    2. Raddant, Matthias & Wagner, Friedrich, 2016. "Multivariate GARCH for a large number of stocks," Kiel Working Papers 2049, Kiel Institute for the World Economy (IfW).
    3. Raddant, Matthias, 2016. "The response of European stock markets to the Brexit," Kiel Policy Brief 100, Kiel Institute for the World Economy (IfW).
    4. Matthias Raddant & Friedrich Wagner, 2016. "Multivariate Garch with dynamic beta," Papers 1609.07051, arXiv.org, revised Aug 2019.

    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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