Transitions in the Stock Markets of the US, UK, and Germany

Matthias Raddant and Friedrich Wagner

Papers from arXiv.org

Abstract: 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.

Date: 2015-04
New Economics Papers: this item is included in nep-cmp and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Quantitative Finance, 17(2), 289-297 (2017)

Downloads: (external link)
http://arxiv.org/pdf/1504.06113 Latest version (application/pdf)

Related works:
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)
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:arx:papers:1504.06113

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().