The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

Xue-Zhong He, Youwei Li

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)
197 Downloads (Pure)

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.
Original languageEnglish
Pages (from-to)1071-1094
Number of pages24
JournalJournal of evolutionary economics
Volume27
Issue number5
Early online date25 May 2017
DOIs
Publication statusPublished - Nov 2017

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