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Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien

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Herrmann, R. Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien. . Eine empirische Analyse. Credit and Capital Markets – Kredit und Kapital, 32(1), 85-124. https://doi.org/10.3790/ccm.32.1.85
Herrmann, Ralf "Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien. Eine empirische Analyse. " Credit and Capital Markets – Kredit und Kapital 32.1, 1999, 85-124. https://doi.org/10.3790/ccm.32.1.85
Herrmann, Ralf (1999): Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien, in: Credit and Capital Markets – Kredit und Kapital, vol. 32, iss. 1, 85-124, [online] https://doi.org/10.3790/ccm.32.1.85

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Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien

Eine empirische Analyse

Herrmann, Ralf

Credit and Capital Markets – Kredit und Kapital, Vol. 32 (1999), Iss. 1 : pp. 85–124

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Ralf Herrmann, Karlsruhe

References

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Abstract

Impact of Derivative Securities on Systematic Risk of Stocks

An Empirical Study

The question if derivatives affect the markets of their underlyings is a very controversy discussed question. Especially if derivatives destabilize or stabilize this markets. Empirical studies document an significant increase of the systematic risk of German stocks - especially DAX stocks. This studies examines if this increased risk is the result of derivatives introduced at the Deutsche Terminbörse (DTB). The results show evidence for a significant impact of derivative securities on the systematic risk and the liquidity of the underlying stocks.