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

He, XZ; Li, Y

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

He, XZ

Li, Y

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Publication Type:: Journal Article
Citation:: Journal of Evolutionary Economics, 2017, 27 (5), pp. 1071 - 1094
Issue Date:: 2017-11-01

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Field	Value	Language
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Li, Y https://orcid.org/0000-0002-2142-7607	en_US
dc.date.available	2020-05-25T19:11:06Z
dc.date.issued	2017-11-01	en_US
dc.identifier.citation	Journal of Evolutionary Economics, 2017, 27 (5), pp. 1071 - 1094	en_US
dc.identifier.issn	0936-9937	en_US
dc.identifier.uri	http://hdl.handle.net/10453/124483
dc.description.abstract	© 2017, Springer-Verlag Berlin Heidelberg. 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.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP130103210
dc.relation.ispartof	Journal of Evolutionary Economics	en_US
dc.relation.isbasedon	10.1007/s00191-017-0505-9	en_US
dc.subject.classification	Economics	en_US
dc.title	The adaptiveness in stock markets: testing the stylized facts in the DAX 30	en_US
dc.type	Journal Article
utslib.citation.volume	5	en_US
utslib.citation.volume	27	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1402 Applied Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.issue	5	en_US
pubs.publication-status	Published	en_US
pubs.volume	27	en_US

Abstract:

© 2017, Springer-Verlag Berlin Heidelberg. 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.

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http://hdl.handle.net/10453/124483