Sources of Predictability of European Stock Markets for High-Technology Firms

Christian Pierdzioch and Andrea Schertler ()

No 1235, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no evidence for return predictability of stock indexes of blue chip firms. Our findings suggest that a leading candidate for explaining the economic sources of return predictability of stock indexes of smaller high-technology firms is transaction costs.

Keywords: Stock markets; Return predictability; High-technology firms (search for similar items in EconPapers)
JEL-codes: G14 N24 (search for similar items in EconPapers)
Date: 2005
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Journal Article: Sources of Predictability of European Stock Markets for High-technology Firms (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1235

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