TY - JOUR
T1 - Transitions in the stock markets of the US, UK and Germany
AU - Raddant, M.
AU - Wagner, Friedrich
PY - 2017
Y1 - 2017
N2 - 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
AB - 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
UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-84969811627&partnerID=MN8TOARS
U2 - 10.1080/14697688.2016.1183812
DO - 10.1080/14697688.2016.1183812
M3 - Article
SN - 1469-7696
VL - 17
SP - 289
EP - 297
JO - Quantitative Finance
JF - Quantitative Finance
IS - 2
ER -