Working Paper
Investing in European Stock Markets for High-Technology Firms
Kiel Working Papers, 1265
Authors
Publication Date
JEL Classification
B22
C32
E24
Key Words
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.
