File(s) not publicly available
The determinants of stock price volatility: an industry study
journal contribution
posted on 2023-06-08, 19:26 authored by Mariana Mazzucato, Willi SemmlerThe 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.
History
Publication status
- Published
Journal
Nonlinear Dynamics, Psychology, and Life SciencesISSN
1090-0578Publisher
Society for Chaos Theory in Psychology and Life SciencesExternal DOI
Issue
2Volume
6Page range
230-253Department affiliated with
- SPRU - Science Policy Research Unit Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2015-01-06Usage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC