The adaptiveness in stock markets: testing the stylized facts in the DAX 30
Xuezhong He () and
Journal of Evolutionary Economics, 2017, vol. 27, issue 5, 1071-1094
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. A mechanism analysis based on the calibrated model provides a behavioral insight into the explanatory power of rational switching behavior of investors on the volatility clustering and long range dependence in return volatility.
Keywords: Adaptive switching; 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)
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Working Paper: The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30 (2015)
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