scholarly journals The Impact of Investor Sentiment on the German Stock Market

2010 ◽  
Author(s):  
Philipp Finter ◽  
Alexandra Niessen-Ruenzi ◽  
Stefan Ruenzi
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

scholarly journals The impact of investor sentiment on the German stock market

2012 ◽  
Vol 82 (2) ◽  
pp. 133-163 ◽  
Author(s):  
Philipp Finter ◽  
Alexandra Niessen-Ruenzi ◽  
Stefan Ruenzi
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

Investor Pessimism and the German Stock Market: Exploring Google Search Queries

2019 ◽  
Vol 20 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Thomas Dimpfl ◽  
Vladislav Kleiman
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Explanatory Power ◽  
Investor Sentiment ◽  
Search Queries ◽  
Retail Investor ◽  
German Stock ◽  
Relationship Of ◽  
Google Search ◽  
German Stock Market

Abstract We analyze the relationship of retail investor sentiment and the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries. We assess the predictive power of weekly changes in sentiment captured by the IPIs for contemporaneous and future DAX returns, volatility and trading volume. The indices are found to have individually varying, but overall remarkably high explanatory power. An increase in retail investor pessimism is accompanied by decreasing contemporaneous market returns and an increase in volatility and trading volume. Future returns tend to increase while future volatility and trading volume decrease. The outcome is in line with the conjecture of correction effects. Overall, the results are well in line with modern investor sentiment theory.

scholarly journals The Efficient Market Hypothesis, Price Multiples, And The German Stock Market

2011 ◽  
Vol 8 (1) ◽  
Author(s):  
Darrol J. Stanley ◽  
Michael D. Kinsman
Keyword(s):  
Stock Market ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Sharpe Ratio ◽  
High Price ◽  
Efficient Market ◽  
Investment Style ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

One of the great exercises of financial research is to examine the efficiency of the stock markets. There are many reasons for this endeavor. One is due to the importance efficiency has on the allocation of capital and the impact on economic activity. Others center on the desire to find an exploitable anomaly for active investment management. This paper sought to do both. The paper explores the German stock market over a five year period ending December 31, 2007. The objective was to examine the value of price multiples in developing portfolios that would not only question the efficient market hypothesis for the market but provide an investment tool to achieve above market risk adjusted returns for an active investment style. The paper explored this by creating portfolios of (1) top ranked (low) price multiples and (2) bottom ranked (high) price multiples. Three multiples were chosen. These were (1) Price to Book (PBK); (2) Price to Current Earnings (PEC), and (3) Price to Normalized Earnings (PER). The hypotheses were that low price multiples would outperform, on a risk adjusted basis, high price multiples, and hedged (long/short) would likewise outperform the market on a risk adjusted basis. Support for either of these hypotheses questions the efficiency of the markets and could provide a pragmatic investment strategy. The results of the study suggest not only that the efficiency of the German stock market can be questioned but that a workable investment strategy involving price multiples could be implemented. The results noted that low price multiples outperformed high price multiples in all cases but not necessarily on a risk adjusted basis. Hedged portfolios likewise outperformed the universe and population. Hedged PBK had an Adjusted Sharpe Ratio of 0.50; the Hedged PEC had an Adjusted Sharpe Ratio of 0.30; and the Hedged PER had an Adjusted Sharpe Ratio of 0.23. These should be compared against an Adjusted Sharpe Ratio for the market of 0. Finally, an equally-weighted Hedged position of PBK, PEC, and PER had an Adjusted Sharpe Ratio of 0.44.

The Rise and Fall of the German IPO Market, 1870-1938

2018 ◽  
Vol 59 (1) ◽  
pp. 9-37
Author(s):  
Carsten Burhop ◽  
David Chambers ◽  
Brian Cheffins
Keyword(s):  
World War Ii ◽  
Stock Market ◽  
Initial Public Offerings ◽  
Stock Exchange ◽  
World War ◽  
Stock Market Development ◽  
Public Offerings ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

Abstract This study of over 1,000 initial public offerings (IPOs) on the Berlin stock exchange from German unification to the eve of World War II draws attention to the importance of regulation and deepens our understanding of German stock market development. An increasingly exacting regulatory environment from the early 1880s to 1914 made a vital contribution to the higher likelihood of firms going public surviving. In the inhospitable regulatory setting of the 1930s, IPO activity drew to a halt and the development in the German stock market over the preceding decades reversed. As a complement to our analysis of the impact of regulation, we document the increased involvement of leading universal banks (D-banks) in the IPO market over the whole period.

scholarly journals Does Weather Still Affect The Stock Market?

2021 ◽  
Author(s):  
Nils Muhlack ◽  
Christian Soost ◽  
Christian Johannes Henrich
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Cloud Cover ◽  
Air Pressure ◽  
Historical Research ◽  
Garch Models ◽  
Weather Variables ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

AbstractThis paper examines the impact of weather phenomena on the German stock market, evaluating cloud cover, humidity, air pressure, precipitation, temperature, and wind speed as weather variables. We use stock market data (returns, trading volume, and volatility) from the DAX, MDAX, SDAX, and TecDAX for the period from 2003 to 2017 and show, with modern time-series (GARCH) models that air pressure is the only weather variable that exerts a potentially consistent effect on the stock market. Air pressure reduces the trading volume on the SDAX and TecDAX, and changes in air pressure lead to increases in returns on the DAX, MDAX and SDAX. The effects of the other weather variables show no clear pattern and are critically discussed. In addition, this article contains an overview of the historical research results on the effects of weather on stock markets.

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