"Excess Volatility" and the German Stock Market, 1870-1990
J. Bradford De Long and
Marco Becht ()
Additional contact information
J. Bradford De Long: U.C. Berkeley
Authors registered in the RePEc Author Service: James Bradford DeLong ()
Economic History from University Library of Munich, Germany
This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the Germanstock market has also possessed "excess volatility" over the past century. It finds no evidence or excess volatility in the pre-WWI German stock market. By contrast, there is some evidence of excess- volatiltiy in the post-WWII German stock market. The role played by the German Great Banks in the pre- WWI market might be the cause of the low comparative volatility of German stock indices before 1914.
Keywords: long; run; stock; market; volatility; Shiller; test; German; finance; capitalism; variance; bounds (search for similar items in EconPapers)
JEL-codes: C12 G14 G21 N23 (search for similar items in EconPapers)
Note: Type of Document - Adobe Acrobat .pdf file; prepared on Macintosh; to print on Postscript (.pdf); pages: 27 ; figures: included
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpeh:9509002
Access Statistics for this paper
More papers in Economic History from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().