The Effect of German Yield Curve Inversion on the German, Dutch, and Swiss Stock Markets
(2024) NEKN02 20241Department of Economics
- Abstract
- This study examines the relationship between the German yield curve and stock market performance in Germany, the Netherlands, and Switzerland by extending the Fama-French Five Factor Model with Carhart's Momentum factor and a yield curve factor. Three hypotheses are tested: the positive relationship between changes in the yield curve and excess stock returns, the lagged effect of yield curve changes, and the asymmetric effects of yield curve changes. The research shows that the German yield curve has a significant positive relationship with stock market performance in Germany and the Netherlands, particularly for the DAX, AEX, and ASCX indices. However, the relationships with Swiss indices are found to be statistically insignificant. The... (More)
- This study examines the relationship between the German yield curve and stock market performance in Germany, the Netherlands, and Switzerland by extending the Fama-French Five Factor Model with Carhart's Momentum factor and a yield curve factor. Three hypotheses are tested: the positive relationship between changes in the yield curve and excess stock returns, the lagged effect of yield curve changes, and the asymmetric effects of yield curve changes. The research shows that the German yield curve has a significant positive relationship with stock market performance in Germany and the Netherlands, particularly for the DAX, AEX, and ASCX indices. However, the relationships with Swiss indices are found to be statistically insignificant. The results offer insights into the influence of yield curve dynamics on stock markets which is of interest to investors and policymakers. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9170542
- author
- Nuijten, Maurik Maria LU and Jensterle Kavka, Karla LU
- supervisor
- organization
- course
- NEKN02 20241
- year
- 2024
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Yield Curve, Stock Market, Yield Curve Inversion, Fama-French asset pricing model
- language
- English
- id
- 9170542
- date added to LUP
- 2024-08-12 15:58:59
- date last changed
- 2024-08-12 15:58:59
@misc{9170542, abstract = {{This study examines the relationship between the German yield curve and stock market performance in Germany, the Netherlands, and Switzerland by extending the Fama-French Five Factor Model with Carhart's Momentum factor and a yield curve factor. Three hypotheses are tested: the positive relationship between changes in the yield curve and excess stock returns, the lagged effect of yield curve changes, and the asymmetric effects of yield curve changes. The research shows that the German yield curve has a significant positive relationship with stock market performance in Germany and the Netherlands, particularly for the DAX, AEX, and ASCX indices. However, the relationships with Swiss indices are found to be statistically insignificant. The results offer insights into the influence of yield curve dynamics on stock markets which is of interest to investors and policymakers.}}, author = {{Nuijten, Maurik Maria and Jensterle Kavka, Karla}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Effect of German Yield Curve Inversion on the German, Dutch, and Swiss Stock Markets}}, year = {{2024}}, }