The adaptiveness in stock markets: testing the stylized facts in the DAX 30

He, Xue Zhong; Li, Youwei

Abstract

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. A mechanism analysis based on the calibrated model provides a behavioral insight into the explanatory power of rational switching behavior of investors on the volatility clustering and long range dependence in return volatility.

Citation

He, X. Z., & Li, Y. (2017). The adaptiveness in stock markets: testing the stylized facts in the DAX 30. Journal of Evolutionary Economics, 27(5), 1071-1094. https://doi.org/10.1007/s00191-017-0505-9

• Journal Article Type: Article
• Acceptance Date: May 27, 2017
• Online Publication Date: May 25, 2017
• Publication Date: 2017-11
• Deposit Date: Mar 19, 2019
• Publicly Available Date: Mar 22, 2019
• Journal: Journal of Evolutionary Economics
• Print ISSN: 0936-9937
• Publisher: Springer Verlag
• Peer Reviewed: Peer Reviewed
• Volume: 27
• Issue: 5
• Pages: 1071-1094
• DOI: https://doi.org/10.1007/s00191-017-0505-9
• Keywords: Adaptive switching; Fundamental and technical analysis; Stylized facts; Power-law; Tail index
• Public URL: https://hull-repository.worktribe.com/output/1113416
• Publisher URL: https://link.springer.com/article/10.1007%2Fs00191-017-0505-9
• Contract Date: Mar 22, 2019