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"Excess Volatility" and the German Stock Market, 1870-1990

  • J. Bradford De Long

    (U.C. Berkeley)

  • Marco Becht

    (European University Institute)

This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the Germanstock market has also possessed "excess volatility" over the past century. It finds no evidence or excess volatility in the pre-WWI German stock market. By contrast, there is some evidence of excess- volatiltiy in the post-WWII German stock market. The role played by the German Great Banks in the pre- WWI market might be the cause of the low comparative volatility of German stock indices before 1914.

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File URL: http://128.118.178.162/eps/eh/papers/9509/9509002.pdf
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Paper provided by EconWPA in its series Economic History with number 9509002.

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Length: 27 pages
Date of creation: 24 Sep 1995
Date of revision:
Handle: RePEc:wpa:wuwpeh:9509002
Note: Type of Document - Adobe Acrobat .pdf file; prepared on Macintosh; to print on Postscript (.pdf); pages: 27 ; figures: included
Contact details of provider: Web page: http://128.118.178.162

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  1. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
  2. Barsky, Robert B. & Long, J. Bradford De, 1990. "Bull and Bear Markets in the Twentieth Century," The Journal of Economic History, Cambridge University Press, vol. 50(02), pages 265-281, June.
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