Transitions in the Stock Markets of the US, UK, and Germany
Matthias Raddant and
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In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We show that an agent-based model can reproduce these changes. We further show that the initial impulse for the transition might stem from the increase of high frequency trading at that time.
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Published in Quantitative Finance, 17(2), 289-297 (2017)
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http://arxiv.org/pdf/1504.06113 Latest version (application/pdf)
Journal Article: Transitions in the stock markets of the US, UK and Germany (2017)
Working Paper: Transitions in the stock markets of the US, UK, and Germany (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1504.06113
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