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2007-12-07Diskussionspapier DOI: 10.18452/4085
Correlation vs. Causality in Stock Market Comovement
dc.contributor.authorWeber, Enzo
dc.date.accessioned2017-06-15T23:34:05Z
dc.date.available2017-06-15T23:34:05Z
dc.date.created2008-01-09
dc.date.issued2007-12-07
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4737
dc.description.abstractThis paper seeks to disentangle the sources of correlations between high-, mid- and lowcap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components are obviously not identifiable. As a solution, the underlying study proposes specifying ARCH-type models for both the idiosyncratic innovations and a common factor, so that the model structure can be identified through heteroscedasticity. The seemingly surprising result that smaller caps have higher influence than larger ones is explained by asymmetric information processing in financial markets. Broad macroeconomic information is shown to enter the common factor rather than the segment-specific shocks.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectIdentificationeng
dc.subjectStructural EGARCHeng
dc.subjectDAXeng
dc.subjectSpillovereng
dc.subjectCommon Factoreng
dc.subject.ddc330 Wirtschaft
dc.titleCorrelation vs. Causality in Stock Market Comovement
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10082958
dc.identifier.doihttp://dx.doi.org/10.18452/4085
local.edoc.pages24
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2007
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2007,64

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