haku: @author Runde, R. / yhteensä: 2
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| Tekijä: | Kramer, W. Runde, R. |
| Otsikko: | Stochastic properties of German stock returns |
| Lehti: | Empirical Economics
1996 : VOL. 21:2, p. 281-306 |
| Asiasana: | ECONOMICS STOCK RETURNS GERMANY |
| Kieli: | eng |
| Tiivistelmä: | The authors 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. The authors 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. |
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