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

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  • Raddant, Matthias
  • Wagner, Friedrich

Abstract

In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets were focused on stocks from the IT and technology sector around the year 2000, this focus has vanished and the markets have mostly moved towards a focus on stocks from the financial sector. This development is paralleled by changes in the returns distributions and the tail exponent. We show that we can extend the concept of beta values to systematically describe a risk measure for stocks from different sectors of the economy. This slowly varying sector specific risk measure describes ordered states in the market and identifies sectors which show concentration of market risk.

Suggested Citation

  • Raddant, Matthias & Wagner, Friedrich, 2014. "Transitions in the stock markets of the US, UK, and Germany," Kiel Working Papers 1979, Kiel Institute for the World Economy (IfW).
  • Handle: RePEc:zbw:ifwkwp:1979
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    References listed on IDEAS

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

    More about this item

    Keywords

    stock price correlations; financial risk; CAPM;

    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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