Working Paper

Investing in European Stock Markets for High-Technology Firms

Authors

  • Christian Pierdzioch
  • Andrea Schertler
Publication Date

We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché, the Alternative Investment Market, and the NASDAQ. We found substantial changes over time in the usefulness of the inter-European and cross-Atlantic comovement of stock markets for predicting stock returns. We also studied how monitoring the comovement of stock markets would have affected the performance of simple trading rules and investor's markettiming skills.

Info

JEL Classification
B22, C32, E24

Key Words

  • Comovement of returns
  • Hightechnology firms
  • Recursive modeling approach