The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30

Xuezhong (Tony) He () and Youwei Li

No 364, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. By conducting econometric analysis via Monte Carlo simulations, we show that the autocorrelation patterns, the estimates of the power-law decay indices, (FI)GARCH parameters, and tail index of the model match closely the corresponding estimates for the DAX 30. A mechanism analysis based on the calibrated model provides further insights into the explanatory power of heterogeneous agent models.

Keywords: adaptiveness; fundamental and technical analysis; stylized facts; power-law; tail index (search for similar items in EconPapers)
JEL-codes: C15 D84 G12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2015-09-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published as: He, X. and Li, Y., 2017, "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30", Journal of Evolutionary Economics, forthcoming.

Downloads: (external link)
https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp364.pdf (application/pdf)

Related works:
Journal Article: The adaptiveness in stock markets: testing the stylized facts in the DAX 30 (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:364

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford ().