German stock market behavior and the IFO business climate index
| dc.contributor.author | Jovanovic, Mario | |
| dc.date.accessioned | 2011-01-25T13:33:11Z | |
| dc.date.available | 2011-01-25T13:33:11Z | |
| dc.date.issued | 2011-01-25 | |
| dc.description.abstract | This paper investigates the driving force for German stock market behavior - stock market confidence. By using monthly new VDAX closing prices and a copula-based Markov approach, a proxy for German stock market confidence is derived. It can be shown that confidence responds to expected output changes in terms of differences of the IFO business climate index and to US confidence changes. Furthermore,German stock market behavior seems to be sticky in comparison to the United States and reduces the marginal effects of the remaining adjustment factors. JEL Classification: C12, C22, E44 | en |
| dc.identifier.uri | http://hdl.handle.net/2003/27588 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8182 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823 ; 04/2011 | |
| dc.subject | Stock market uncertainty | en |
| dc.subject | Temporal dependence | en |
| dc.subject | VDAX-New | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | German stock market behavior and the IFO business climate index | en |
| dc.title.alternative | a copula-based Markov approach | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |