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Der deutsche Aktienmarkt, der Dollar und der Außenhandel: eine ökonometrische Analyse

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  • Entorf, Horst

Abstract

Die Studie untersucht den Zusammenhang zwischen Dollar- und Aktienkursen. Da für sehr lange Zeiträume nur schwache bivariate Zusammenhänge feststellbar sind, wird die (begrenzte) Informationsmenge der Marktteilnehmer durch abschnittsweise Teilmengen des Untersuchungszeitraums (1974 - 1995) erfaßt. Mit Hilfe der Methode Rollender Regressionen werden Richtung und Ausmaß der instabilen Aktienkurs-Wechselkurs-Beziehung untersucht. Es zeigt sich, daß diese in robuster und kointegrierter Weise mit den jeweiligen Export- und Importanteilen Deutschlands verknüpft ist. Ferner gibt es Anzeichen dafür, daß die Außenhandelssensitivität des Zusammenhangs seit 1991 größer geworden ist.
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Suggested Citation

  • Entorf, Horst, 2000. "Der deutsche Aktienmarkt, der Dollar und der Außenhandel: eine ökonometrische Analyse," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 14304, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:14304
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/14304/
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    File URL: https://www.researchgate.net/publication/241755323_Der_deutsche_Aktienmarkt_der_Dollar_und_der_Aussenhandel_eine_okonometrische_Analyse
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    1. Horst Entorf & Gösta Jamin, 2007. "German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs," German Economic Review, Verein für Socialpolitik, vol. 8(3), pages 344-374, August.

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