Projekte Hochschule Luzern
The Swiss stock market & the business cycle: A generalized dynamic factor-model approach
The present Ph.D. thesis studies the interrelations between the business cycle and the Swiss stock market. This is done by applying the generalized dynamic factor-model of Forni, Hallin, Lippi, and Reichlin to estimate common components of Swiss total-market and industry indices from a cross-section of macroeconomic time series. The results indicate that fluctuations of the Swiss stock market are largely driven by macroeconomic fundamentals. Moreover, there is some particular evidence of a distinct market overvaluation between 1995 and 2001.
Projektleiter/in
Christoph Sax
Beteiligte Organisationen
Institut für Finanzdienstleistungen Zug IFZ, www.hslu.ch/ifz
Christoph Sax
Beteiligte Organisationen
Institut für Finanzdienstleistungen Zug IFZ, www.hslu.ch/ifz
