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ERGEBNISSE EINER STATISTISGHEN ANALYSE DER ZEITLICHEN ENTWICKLUNG VON AKTIENKURSEN
Author(s) -
Schips Bernd,
Stier Winfried
Publication year - 1972
Publication title -
kyklos
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.766
H-Index - 58
eISSN - 1467-6435
pISSN - 0023-5962
DOI - 10.1111/j.1467-6435.1972.tb02585.x
Subject(s) - german , stock (firearms) , stock market , econometrics , economics , spectral analysis , financial economics , business cycle , random walk , mathematics , geography , macroeconomics , statistics , archaeology , context (archaeology) , physics , quantum mechanics , spectroscopy
SUMMARY In addition to the papers of G ranger and M orgenstern concerning the development of stock prices at the New York and London stock market, German stock prices were analyzed by means of the method of spectral analysis using both direct and indirect estimation procedures. It is shown that short‐run movements can suitably be described by the well‐known random‐walk model. In contrast, the long‐run movements show cycles corresponding to the business cycles in the Western German economy. One of the results of the phase analysis is the lead of the stock market against the general business activity.