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Stochastic properties of german stock returns (1996)

Krämer, Walter ; Runde, Ralf

Springer

Empirical economics 21 (1996), S. 281-306

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ISSN: 1435-8921

Keywords: C12 ; G14

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: Abstract We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of tests for serial correlation, depends on distributional assumptions which are often overlooked.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01175974

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