| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1023/A:1014018429565 |
| ISBN | 1090-0578 |
| The determinants of stock price volatility: an industry study. | |
| Mazzucato, Mariana; Semmler, Willi | |
| 发表日期 | 2002-04 |
| 出处 | Nonlinear Dynamics, Psychology, and Life Sciences |
| 出版者 | Society for Chaos Theory in Psychology and Life Sciences |
| 出版年 | 2002 |
| 页码 | 230-253 |
| 语种 | 英语 |
| 摘要 | The currently ongoing IT-revolution is a great challenge for economists. The industry displays ever arising new technologies, unstable market shares, long-term swings, and short-term volatility of stock prices. Yet, to study those phenomena empirically one is constrained by a lack of data. The U.S. auto industry, for which long-term time series are available, has shared a similar experience since its early development. This paper studies how long-term swings and short-term stock price volatility in the U.S. auto industry is related to innovative efforts and switching of market shares of firms. The early period of the life-cycle of the industry was characterized by high product innovation, high market share instability, volatile stock prices, and the later period by fewer firms, process innovation, more stable market shares and less stock price volatility. In this paper we focus on the “transition” period leading from the first to the second period and study the relation of innovative effort, market share fluctuations and stock price dynamics. After presenting stylized facts on the life-cycle of the industry we introduce a dynamic model that is able to replicate some of the stylized facts. The dynamic model admits heterogeneous firms and encompasses both evolutionary as well as optimizing approaches. |
| 特色分类 | H Social Sciences |
| URL | http://sro.sussex.ac.uk/id/eprint/51901/ |
| 来源智库 | Science Policy Research Unit (United Kingdom) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/467026 |
| 推荐引用方式 GB/T 7714 | Mazzucato, Mariana,Semmler, Willi. The determinants of stock price volatility: an industry study.. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
