Transitions in the stock markets of the US, UK and Germany
Authored by Friedrich Wagner, Matthias Raddant
Date Published: 2017
DOI: 10.1080/14697688.2016.1183812
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Abstract
In an analysis of the US, the UK and German stock market, we find a
change in the behaviour based on the stocks' beta values. In the years
1995-2006, trades of stocks with high beta and large volume were
concentrated in the IT and technology sector, whereas in 2006-2012 those
trades are dominated by stocks from the financial sector. We show that
an agent-based model can reproduce such a transition. We further show
that the initial impulse for the transition might stem from the increase
of high-frequency trading at that time.
Tags
CAPM
Risk
Model
Financial-markets
Returns
Stock price correlations
Financial risk