Investing in European Stock Markets for High-Technology Firms

Christian Pierdzioch and Andrea Schertler ()

No 1265, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché, the Alternative Investment Market, and the NASDAQ. We found substan-tial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. We also studied how monitoring the comovement of stock markets would have affected the performance of simple trading rules and investor's market-timing skills.

Keywords: Recursive modeling approach; Comovement of returns; High-technology firms (search for similar items in EconPapers)
JEL-codes: B22 C32 E24 (search for similar items in EconPapers)
Date: 2005
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Journal Article: Investing in European stock markets for high-technology firms (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1265

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