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Investing in European Stock Markets for High-Technology Firms

  • Christian Pierdzioch
  • Andrea Schertler

We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché, the Alternative Investment Market, and the NASDAQ. We found substantial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. We also studied how monitoring the comovement of stock markets would have affected the performance of simple trading rules and investor’s markettiming skills.

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File URL: https://www.ifw-members.ifw-kiel.de/publications/investing-in-european-stock-markets-for-high-technology-firms/kap1265.pdf
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Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1265.

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Length: 30 pages
Date of creation: Jan 2006
Date of revision:
Handle: RePEc:kie:kieliw:1265
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  15. Hon, Mark T. & Strauss, Jack K. & Yong, Soo-Keong, 2007. "Deconstructing the Nasdaq bubble: A look at contagion across international stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 213-230, July.
  16. Michael Cooper & Roberto C. Gutierrez, Jr. & Bill Marcum, 2005. "On the Predictability of Stock Returns in Real Time," The Journal of Business, University of Chicago Press, vol. 78(2), pages 469-500, March.
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