Mehr Nachhaltigkeit im deutschen Leitindex DAX - Reformvorschläge im Lichte des Wirecard-Skandals (More Sustainability in the German Stock Market Index DAX - Lessons Learner from the Wirecard Scandal)

2020 ◽  
Author(s):  
Volker Brühl
Keyword(s):  
Stock Market ◽  
Stock Market Index ◽  
Market Index ◽  
German Stock ◽  
German Stock Market

scholarly journals Sticky Stock Market Analysts

2021 ◽  
Vol 14 (12) ◽  
pp. 593
Author(s):  
Ibrahim Filiz ◽  
Jan René Judek ◽  
Marco Lorenz ◽  
Markus Spiwoks
Keyword(s):  
Stock Market ◽  
Investment Strategies ◽  
Stock Market Index ◽  
Market Index ◽  
German Stock ◽  
Long Term Trends ◽  
German Stock Market ◽  
Better Than

Technological progress in recent years has made new methods available for making forecasts in a variety of areas. We examine the success of ex-ante stock market forecasts of three major stock market indices, i.e., the German Stock Market Index (DAX), the Dow Jones Industrial Index (DJI), and the Euro Stoxx 50 (SX5E). We test whether the forecasts prove true when they reach their effective dates and are therefore suitable for active investment strategies. We revive the thoughts of the American sociologist William Fielding Ogburn, who argues that forecasters consistently underestimate the variability of the future. In addition, we draw on some contemporary measures of forecast quality (prediction-realization diagram, test of unbiasedness, and Diebold–Mariano test). We reveal that (a) unusual events are underrepresented in the forecasts, (b) the dispersion of the forecasts lags behind that of the actual events, (c) the slope of the regression lines in the prediction-realization diagram is <1, (d) the forecasts are highly biased, and (e) the quality of the forecasts is not significantly better than that of naïve forecasts. The overall behavior of the forecasters can be described as “sticky” because their forecasts adhere too strongly to long-term trends in the indices and are thus characterized by conservatism.

Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose / Announcement of Business Cycle Forecasts and the Reaction of the German Stock Market

2007 ◽  
Vol 227 (1) ◽  
Author(s):  
Horst Entorf ◽  
Christian Steiner
Keyword(s):  
New York ◽  
Stock Market ◽  
Business Cycle ◽  
High Efficiency ◽  
Stock Exchange ◽  
Good News ◽  
Stock Market Index ◽  
Stock Market Returns ◽  
German Stock ◽  
German Stock Market

SummaryWe study the response of the German stock market index DAX to the announcement of macroeconomic business cycle forecasts. Returns are computed using high-frequency data observed for 15-second intervals. Publications of macroeconomic US indicators at 2:30 p.m. (CET) have temporary and opening of the New York Stock Exchange at 3:30 p.m. (CET) have permanent effects on the volatility of the German DAX. Moreover, the intraday volatility of the DAX index has a U-shaped form, which has also been identified for other international stock markets. Major reactions of both returns and volatility occur within the first 15 to 60 seconds after the announcement, revealing a high efficiency of the German capital market. Unanticipated shocks cause asymmetric stock market returns: “good” news lead to more pronounced reactions than “bad” news. Moreover, there is evidence of mean reversion and calm-before-thestorm effects. Finally, serial correlation of returns is found to be a potentially spurious result of non-anticipated announcements of macroeconomic news.

On the sensibility of the Pairs Trading strategy: the case of the FTS stock market index

2020 ◽  
Vol 38 (3) ◽  
Author(s):  
Ainhoa Fernández-Pérez ◽  
María de las Nieves López-García ◽  
José Pedro Ramos Requena
Keyword(s):  
Standard Deviation ◽  
Stock Market ◽  
Trading Strategy ◽  
Stock Market Index ◽  
Pairs Trading ◽  
Empirical Application ◽  
Statistical Arbitrage ◽  
Market Index ◽  
Standard Deviations ◽  
Using Data

In this paper we present a non-conventional statistical arbitrage technique based in varying the number of standard deviations used to carry the trading strategy. We will show how values of 1 and 1,2 in the standard deviation provide better results that the classic strategy of Gatev et al (2006). An empirical application is performance using data of the FST100 index during the period 2010 to June 2019.

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