APPENDICES
Appendix 1: List of Publicly Listed German Companies which have acceded to the German Takeover Code
183 Table AI: List of Publicly Listed German Companies which have acceded to the provisions of the German Takeover Code (as of February 26, 1998) Dax M-Dax Companies Other publicly listed companies Companies
Allianz adidas-Salomon Aachener und Miinchner Lebensversicherung BASF AMB Aachener und Miinchner Aachener und Miinchner Versicherung Bayer AXA Colonia Konzem AEE Lebensmittel Bay. Vereinbank Bankgesellschaft Berlin AGFB AG fur Bet. an Telekommunikation Commerzbank Beiersdorf AGROB Daimler-Benz BHF Bank AIXTRON Degussa BHW Holding Aktiengesellschaft Bad Salzschlirf Deutsche Bank Continental Allgemeine Privatkundenbank Deutsche Telekom DBV-Winthertur Holding Allianz Lebensversicherung Dresdner Bank DePfa-Bank APCOA Parking Henkel Douglas Holding aqua signal Karstadt DUrr Augsburger Kammergam Linde Dyckerhoff Baden-Wurttembergische Bank Lufthansa ERGO Versicherungsgruppe Ballmaier & Schulz MAN FAG Kugelfischer Bayerische Handelsbank Mannesrnann Felten & Guillaume BBS Kraftfahrzeugtechnik MEmO Fielmann C. Bechstein Pianofortefabrik Miinchner Ruck Grohe, Friedrich Berlin Hyp PREUSSAG Heidelberger Zement Berliner AG f. Ind. RWE Hombach Holding Berliner Kindl SAP IKB Dt. Industriekreditbank Berliner Spezialfl ug Schering IVG Holding Berliner Lebensversicherung Siemens IWKA Bertrand! Thyssen Kampa-Haus BERU VEBA Kolbenschmidt-Pierburg Beta Systems Software Krones Bien-Haus Krupp-Hoesch Biotest KSB BOWE SYSTEC Lahmeyer Boss,Hugo Merck Burgerliches Brauhaus Ravensburg-Lindau MLP C.H.A. Bauelemente plettac Chem. W. Brockhues Porsche Colonia Lebensversicherung Schwarz Pharma Creaton Sudzucker Deere-Lanz Verwaltung Tarkett Deinbiick-Immob.-Verrn. Varta Dt. Balaton Broker Hldg. Vossloh Dt. Bank Lubeck Wella Dt. Beamtenvors. Immob. Dt. Hypothekenbank Ffm. Dt. Hypothekenbk Hn. BI. Dt. Steinz Cremer & Breuer Deutsche Verkehrs-Bank Deutscher Lloyd Verso Dolerit-Basalt Grundw. u. Bet.
184 Dax M-Dax Companies Other publicly listed companies Companies
Didier Werke Dinkelacker DSL Holding Diirkopp Adler DUEWAG Edelst. Witten eff-eff. Fr. Fuss Ehlebracht Eisen- und Hiittenw. Kiiln EM. TV & Merchandising ERLUS Erste Bayer. Basaltstein Eschweiler Bergwerk EURAG Holding EUROBIKE E'ZWO Computervertrieb F.A. Giinther & Sohn i.K. Fernheizwerk Neukiilln Friedrich Flender FPB Holding Frankf. Hypo. Centralboden Garbe Lahmeyer GARDENA HOLDING Gamy GBWAG Bayer. Wohnungs Geestemiinder Verwalt.- u. Gr. Gerry Weber Int. Gilde Brauerei Gildemeister GIVAG Goldschmidt, Th. Graphitwerk Kropfmiihl Hach Hacker-Pschorr Hamburger Getreide Hapag Lloyd HBAG Hanseatische Bet. Heidelberger Druckmasch. Heinrich Industrie Hermes Kreditversicherung H.I.S. SPORTSWEAR Hofbrauhaus Wolters Holsten-Brauerei Hornbach-Baumarkt Hornblower Fischer Harten Hucke Hymer Hypothekenbk. in Hamburg
185 Dax M-Dax Companies Other publicly listed companies Companies
IFA Hotel & Touristik l.G.Farbenind. i. A. Ikon Prazisionstechnik INDUS Holding Isar-Amperwerke Jacobsen, W. Jodquellen Bad Tolz Kali und Salz Bet. Kaufhalle KERAMAG Kolnische Verwaltung KOENIG & BAUER-ALBERT Kraftubertr. Rheinf. Kraftwerk Altwurttemberg Kuppersbusch Kulmbacher Brauerei Kunert Kur-u.Verk. Oberstdorf Lech-Elektrizitatswerke Lehnkering Leica Camera Leifheit Leonberger Bausparkasse Leonische Drahtwerke LEWAG Holding Losch Umweltschutz MACROTRON MagnaMedia Verlag i.A. M.A.X. Holding Meinecke, H. Mensch u. Maschine Softw. MG Vermogensverw. MHM Mode Holding MobilCom Muhl Prod.&Serv.Thur.Baust. MVS Miete Vertrieb Service NAK Stoffe i.A. Nebelhornbahn Neckarwerke Stuttgart Niedermayr Papier NORDAG Immobilien Nordt. Hypo.- u. W.-Bank Nordt. Steingut NORDSTERN AUg. Verso NORDSTERN Lebensvers. nucJetron Electronic Nurnberger Bet. Nurnberger Hyp. OAB Osnabr. Anlagen-u.Bet.
186 Dax MDax Companies Other publicly listed companies Companies
Oberland Clas Oldenb. Landesbank Oppermann Versand Otavi Minen Parkbr. Pirmasens JEAN PASCALE Paulaner-Salvator-Bet. Pegasus Bet. Pfleiderer Phoenix Piper Pirelli Deutschland Pongs& Zahn Porz. Waldsassen Bar i.A. Preussag Stahl ProSieben Media Quante Rathgeber Ravensberger Bau-Beteil. Reckitt & Colman Dtschl. Reederei H. Ekkenga REFUGIUM HOLDING Reichelt, F. Reichelt, Otto Renk Rheinboden Hypothekenbank Rheiner Moden RHEINHYP Rhein. Textil Rieter Ingol. Spinnereim. Rothenberger Sachsenmilch Sachsenring Automobiltechn. SAl Automotive SALTUS Technology Sartorius SCHAERF Schering SCHLEICHER Schlott Schoeller Eitorf Schon & Cie. Schwabenverlag SECURITAS Sedlmayr, G. Sp.-Fr.-Br. SER Systeme SERa Entsorgung SG-Holding Singulus Technologies
187 Dax M-Dax Companies Other publicly listed companies Companies
Sixt SP AG St. Petersburg Immob. und Bet. STEVCON STO Tempelh. Feld TEVTONIA Zementw. Thyssen lndustrie TIPTEL Trinkhaus & Burkhardt VniversWitsdruckerei Stiirtz Vzin Vtz Vereinigte Schmirgel Vereins- und Westbank Vereinte Versicherung VERSEIDAG VICTORIA Versicherung VK Miihlen Volksfiirsorge Holding Wallberg Beteiligung WCM Beteiligung u. Grundbesitz Weber & Ott Windhoff WMF Wiirttemb. Metallw. Wohnbau Schwarzwald Wiinsche Wiirttembergische Hypothekenbank Wiirt!. Leben Wiirtt. und Bad. Versicherung Zucker&Co.
Source: B6rsen-Zeitung as of February 26, 1998 Bold shows those buying companies in our sample which have signed the German Takeover Code Italic shows those acquired companies in our sample which have signed the German Takeover Code
188 Appendix 2: Complete List of Target Companies with the Respective Majority Owner in the Sample
189 ...... \0 o TableA2: List of Target Companies with the Respective Majority Owner
Maioritvowner ~ Thml Industry Industries ~ ~ DI=L ~ ~~ S!!= I Ruhrgas AG through ELSTER AG Me8- und Regeltechnik Utilities Kromschrbder AG, O. Machinery unrelated Dil aH IDh.St.Attien 2 Spanner-Pollux Verwaltungs GmbH Machinery Meinecke AG, H. Machinery related Hn FV Aktien 3 FANAL Elektrik GmbH Electrical M.ihak AG, H. Machinery unrelated Hb aH Inh.Aktien 4 Gebr. Mlirz AG Food Brauhaus Amberg AG Breweries unrelated Mil aH Attien 5 Gebr. Buhl Papierfabriken GmbH Paper Papierfabrik WeiBenstein AG Paper related Fr FV Aktien 6 British Vita PLCDeutsche Vita Polymere GmbH Chemicals KoeppAG Chemicals related Fr gM Inh.St.Aktien 7 VIAG-Bayernwerk Beteiligungs GmbH Utilities Gerresheimer Glas AG Retail unrelated Fr aH Inh.St.Aktien 8 Gilde Brauerei AG Breweries Hofbrauhaus Wolters AG Breweries related Hn gM Inh.St.Attien 9 Swedish Frigoscandia Group through Transit Kiihlhaus Transportation Ktihltransit AG Transportation related Hb aH St.Aktien Lit. B 10 Ruhrkohle AG Mining Eschweiler 8ergwerks-Verein AG Utility unrelated Fr FV Aktien 11 Deutsche Babcock-Borsig AG Diversified Schumag AG Machinery unrelated Fr aH Inh.St. Aktien 12 VIAG AG through Elektrowerke GmbH Holding Utilities Didier-Werke AG Construction unrelated Fr aH Aktien 13 KautbofHolding AG Retail Oppermann Versand AG Retail related Fr gM Inh.St.Aktien 14 Quelle Group (indirectly) Retail Leffers AG Retail related Fr aH Inh.StA. u. Inh.VzA.oSt. 15 Siemens Schienenfahrzeug Gruppe GmbH & Co. KG Electricals DUEWAGAG Machinery unrelated Dil aH Aktien 16 Mannesmann AG Diversified Krauss-Maffei AG Machinery unrelated Fr aH Inh.St.Aktien 17 METRO Vennogensverwaltung (indirectly) Retail MassaAG Retail related Fr aH Inh.St.Aktien 18 Stuttgarter Hofbrau AG Breweries Brauerei Moninger AG Breweries related Fr gM Aktien 19 RWEAG Utilities Hoehtief AG Construction unrelated Fr aH Inh.st.Aktien 20 SMI-Soeieta Metallurgic. Italian S.p.A. (indirectly) Steel KM Europa Metal AG Steel related Fr aH Inh.St.Aktien 21 Degussa AG Chemicals Allgemeine Gold-uod Silberscheideanstalt . Retail unrelated Fr FV Aktien 22 YEW AG Utilities HarpenAG Construction unrelated Fr aH Inh.St.Aktien 23 Compangie de Saint-Gobain Emballage Retail I Glass Oberland Glas AG Retail/Glass related Fr aH Inh.St.Aktien 24 Metallgesellschaft Industrie AG Steel Buderus AG Machinery unrelated Fr aH Aktien 25 Bremer Vulkan Verbund AG Steel DORRIES SCHARMANN AG Machinery unrelated Fr aH Aktien 26 France Telecom through TRANSPAC S.A. Electrical INFO Gesellschaft fur Infonnationssysteme Electrical related Hb gM Inh.Aktien 27 K.utbof Holding AG Retail Horten AG Retail related Fr aH Inh.St.Aktien 28 Rheinmetall AG Machinery Mauser-Waldeck AG Retail unrelated Fr aH Inh.St.Aktien 29 Semi-Tech (Glob.l) Company Ltd. Hongkong (indirectly) Machinery Pf.ff AG, G.M. Machinery related Fr aH Inh.St.Aktien 30 RWE AG (indirectly) Utilities Nebelhombahn AG Transportation unrelated Mil gM Aktien 31 CompuNet Computer AG Retail E'ZWO Computervertriebs AG Retail related Mil aH Inh. Aktien 32 Spaten-Franziskaner-Brau KGaA Breweries Dinkelacker Brauerei AG Breweries related St gM Aktien 33 Mainzer Aktienbrauerei Breweries Allgauer Brauhaus AG Breweries related Mil FV Aktien 34 Saitel Gruppe Electrical Hegener + Glaser AG Retail unrelated Mil gM Inh.St.Aktien Appendix 3: Summary of the Data Set by Transaction
191 ~ '"N TableA3: Summary of the Data Set by Transaction
~ 1lili Maiority owner ~ Thm ~ ~ ItJIL Min. IIII3lI..l2Ik ~~ s.t..A. JlIl!ll llIw= YiIlIa I 31. Aug 84 29. Feb 96 Ruhrgas AG through ELSTER AG Me6- und Regeltechnik KromschrOder AG. G. KRO 633400 83.98% 2996 2 2 31. Aug 84 29. Feb 96 Spanner-Pollux Verwaltungs GmbH Meinecke AG. H. MEl 659600 95+ 2999 12 3 21.Dez84 29. Feb 96 FANAL Elektrik GtubH Maihak AG. H. MHK 655300 92.30% 2924 12 4 23. Apr 85 29. Feb 96 Gehr. Miirz AG Brauhaus Amberg AG BHA 525000 88.15% 2836 8 5 O4.Iun 85 29. Sep 92 Gebr. Buhl Papierfabriken GtubH Papierfabrik Wei8enstein AG PAW 688950 98.00% 1946 none 6 30. lui 85 29. Feb 96 British Vita PLCDeulsche Vita Polymere GtubH KoeppAG KPP 630280 94.25% 2772 I 7 18. Nov 85 29. Feb 96 VIAG-Bayernwerk Beteiligungs GtubH Gerresheimer Olas AG GER 587300 51.00% 2697 2 8 18. Dez 85 29. Feb 96 Gilde Brauerei AG Hofbrauhaus Wolters AG HOW 607480 88.90% 2685 I 9 21.Mlir86 29. Feb 96 Swedish Frigoscandia Group through Transit Kiihlhaus GtubH Kiihltransit AG KTR 633700 50.0\% 2611 101 10 28.M1ir88 29. Feb 96 Ruhrkohle AG Eschweiler Bergwerks-Verein AG EBV 569300 98.15% 2112 none 11 12. Apr 89 29. Feb 96 Deutsche Babcock-Borsig AG SchumagAG SCM 721670 70.00% 1850 7 12 24. Mai 89 II. lui 95 VIAG AG through Elektrowerke GtubH Holding Didier-Werke AG DID 553700 51.36% 1656 I \3 31. lui 89 29. Feb 96 Kaufhof Holding AG Oppermann Versand AG OPP 686470 61.50% 1773 I 14 18. Aug 89 29. Feb 96 Quelle Group through M+T Mode- und Textilhaus-Beteiligungs Leffers AG LEF 646370 62.20% 1761 37 15 18. Sep 89 29. Feb 96 Siemens Schienenfahrzeug Gruppe GmbH & Co. KG DUEWAGAG WUE 775100 97.95% 1740 7 16 12.0kt89 29. Feb 96 Mannesmann AG Krauss-Maffei AG KMA 633200 71.82% 1723 147 17 03. Ian 90 29. Feb 96 METRO Vermogensverwaltung through a majority investment iI Massa AG MAS 657960 95.00% 1669 3 18 18. Ian 90 29. Feb 96 Stuttgarter Hofbrliu AG Brauerei Moninger AG BMO 524730 79.94% 1657 2 19 26. Feb 90 29. Feb 96 RWE AG Hochtief AG HOT 607000 56.14% 1629 none 20 30. Mai 90 29. Feb 96 SMI-Societ.t Metallurgica Italian S.p.A. through Finmetal Invest KM Europa Metal AG KME 600300 76.91% 1564 I 21 17.Aug9O 29.Feb96 DegussaAG Allgemeine Gold-und Silberscheideanstalt AG AGS 503850 91.00% 1513 I 22 24. Aug 90 29. Feb 96 YEW AG HarpenAG HAP 603400 61.11% 1506 5 23 14. Sep90 29. Feb 96 Compangie de Saint-Gobain Emballage Oberland Glas AG OLG 685160 60.00% 1489 3 24 18. Iun 91 22. Iun 94 Metallgesellschaft Industrie AG Buderus AG BUD 527800 79.90% 876 3 25 18. Feb 92 29. Feb 96 Bremer Vulkan Verbund AG DOR~SCHARMANNAG SIS 730200 61.57% 1\38 3 26 23. Apr 92 29. Feb 96 France Telecom through TRANSPAC S.A. INFO Gesellschaft fUr Informationssysteme AG IGI 620590 97.00% 1095 7 27 22. Dez 92 29. Feb 96 Kaufhof Holding AG HortenAG HOR 608370 71.01% 932 2 28 17. Feb 93 29. Feb 96 Rheinmetall AG Mauser-Waldeck AG MAU 658030 75.20% 889 7 29 16. Mlir93 29. Feb 96 Semi-Tech (Global) Company Ltd. Hongkong. through Roseg H. Pfaff AG. G.M. PFA 691430 72.00% 870 none 30 23. Apr 93 29. Feb 96 RWE AG through Bergbahn-Beteiligungs-Gesellschaft GmbH Nebelhombahn AG NHB 827110 53.00% 867 2 31 10. Aug 93 29. Feb 96 CompuNet Computer AG E'ZWO Computervertriebs AG ELC 566730 75.52% 770 44 32 03. Nov 93 29. Feb 96 Spaten-Franziskaner-Brlu KGaA Dinkelacker Brauerei AG DWB 553830 50.50% 711 5 33 18. Ian 94 29. Feb 96 Mainzer Aktienbrauerei Aligauer Brauhans AG ALB 503550 70.00% 660 none 34 19. Ian 94 29. Feb 96 Saitek Gruppe Hegener + Glaser AG HGM 604070 51.00% 658 155 Appendix 4: Selected Time-Series Plots
193 ..... \0 "'" Time Series Plot Daily Discrete Cleaned Returns Didier-Werke AG Construction 0.15
0.05
~ o (5 -0.05
-0.15
Index 500 1000 1500 o o o C\J
o o o
x o Q) o o "'0 I C
195 o o I.{)
o o o
o o I.{)
x c:i ~ I C
196 Time Series Plot Daily Discrete Cleaned Returns Hochtief AG (Construction)
0.1
Q) 0.0 a: f- G I -0.1
-0.2 Index 500 1000 1500
...... \D '-l ...... \0 00 Time Series Plot Daily Discrete Cleaned Returns KM Europa Metal AG (Steel) 0.1
& w 0.0 :2 ~
-0.1 Index 500 1000 1500 Time Series Plot Daily Discrete Cleaned Returns KromschroderAG (Machinery)
0.1
& o a: 0.0 ~
-0.1
Index 1000 2000
...... \0 \0 tv <::) <::) Time Series Plot Daily Discrete Cleaned Returns Letters AG (Retail) 0.15
0.10
& 0.05 LL w -l 0.00
-0.05
-0.10 Index 200 400 600 800 1 000 1200 1400 1 600 Time Series Plot Daily Discrete Cleaned Returns Mauser-Waldeck AG (Retail) 0.15
0.05
~ ::J c( ~ -0.05
-0.15
Index 100 200 300 400 500 600 700 800
N o ..... tv a tv TTmeSerieSPlot Daily Discrete Cleaned Returns Oppermann Versand AG (Retail)
0.1
~ a.. a.. o 0.0
-0.1
Index 200 400 600 800 1000 1200 1400 1600 Time Series Plot Daily Discrete Cleaned Returns Schumag AG (Machinery)
0.1
& :2 o 0.0 (f)
-0.1 -.'-- ___ -. ____ ...--___ -. __ -.1 Index 500 1000 1500
N o w 0 0 en >< 0 .....c Q) C') :::l "'C Q) a:: C 0 "0 - (l) c::: c ~ 0 en co Q) 0 (l) (l) -;:: 0 C\J (l) (3 3: Cf) (l) Q) 10.- (l) -.....(l) E () en en i= (5 >< 0 ~ « 0 -en 0 0 0 0
en T"" CD x o q o o (l) c:i "'"o c:i "0 I 9 C
204 0 0 0 If) X C') c Q) '- :J "0 Q) C a: (5 "0 en Q) 0 0::: c m 0 If) eel () 0 Q) Q) C\I ";:: (3 Q) E C/) Q) Q) Q) Q) .c. E u'- If) () t= 0 Ox 0 £« 0 c30 ()
205 oN 0\ Time Series Plot Daily Discrete Cleaned Returns CDAX Construction Index 0.1 & 5 0.0 o -0.1 Index 1000 2000 3000 x a en Q) a ....c "'C a ::J C') Q) C a: CJ) "0 - -0 Q) ctS c:: cen ._(,) en Q) I- a Q) ....- a ·c t5 (,) a Q) C\I CI) Q) Q) Q) - Q) - W E uen i= oX >.« a ~O a 00 .....a x a Q) o "0 C 19l::::l 8313 207 o o o C") o o o C\I o o o 10 o g 10o ci ci 9 19l:::l XV08 208 Appendix 5: Selected Normal Plots 209 N ...... o Didier-Werke AG .999 .99 >- .95 I == .80 ------~------I ~ .50 I ___ _ I -----~------~~~__ _ _ _ I .0 .20 ------c-- ---:::t:::::~:::::::~ e .05 0... .01 I ,- - _ L .001 :-.....- - -- _L______I -0.16 -0.06 0.04 0.14 DID Ret Average: 0.0000122 W-test for Normality Std Dev: 0.0206554 R: 0.9755 N of data: 1654 P value (approx): < 0.0100 Gerresheimer Glas AG .999 ~... -, >- .99 :t::= .95 .c= .80 ctI .50 I 1--· I =====i======-~======j======.c .20 ~------~------E .05 c.. .01 =====!====---~-~----. --.-.....~= = = = - .. -- == ------~-- -- .001 = ------~-----======~====== -0.1 0.0 0.1 GER Ret Average: 0.0004965 W-test for Normality Std Dev: 0.0168975 R: 0.9640 N of data: 2695 P value (approx): < 0.0100 N ..... N ...... N Harpen AG , , , .999 ------~------,------~ .99 :>. .95 ------~------~------~:::::::!::, , == ..c .80 as .50 ..c e .20 c.. .05 .01 , , , .001 ------~------1------T-- -0.06 -0.01 0.04 0.09 HAP Ret Average: -0.0002154 W-test for Normality Std Dev: 0.0151772 R: 0.9592 N of data: 1501 p value (approx): < 0.0100 Hochtief AG .999 -r------r------,----I I .99 _L ______l ______~ .95 >- .80 -r------r------_L ______! ______=== I I .50 -I- - ______+- ______~ ______:__ .c .20 ,. ----,------r- ~ -By ------; ------1- - ______.J ______, __ ~ .601 I Q.. -0.18 -0.08 0.02 0.12 HOT Ret Average: 0.0002514 W-test for Normality Std Dev: 0.0183551 R: 0.9598 N of data: 1629 p value (approx): < 0.0100 tv ...... w N ..... *'" KM Europa Metal AG I .999 ______~------~-----__ ~/ I ---- ~------~--- --~~~~ ~~ - -. -.~- >- .99 ------~- == .95 ------I------t------______IL ______IL_ .0 .80 co .0 .50 ------r------r- ...0 _L ______IL ______IL_ a.. .20 I .05 ----r------r------r-I I I .01 ------r------r------r-I I I .001 t------t------~------r- I I I I -0.05 0.00 0.05 0.10 KME Ret Average: -0.0000296 W-test for Normality Std Dev: 0.0177835 R: 0.9840 N of data: 1563 p value (approx): < 0.0100 Kromschroeder AG >- .999 == .99 ~~t ~~ ~= = ~ = ~ ~~= ~ ~ = = i = = == = ~~~d~ ~== ~= = ~ :c .95 --,------I I ~ .80 o .50 ~ ~~ ~ ~ ~~~ ~~ ~ T- ~ ~------~ ~ ~ ~------a: .20 ------1------.05 .01 .001 ==~======~==!======j======~ -0.1 0.0 0.1 KRO Ret Average: 0.0007263 W-test for Normality Std Dev: 0.0171201 R: 0.9666 N of data: 2975 p value (approx): < 0.0100 N ...... V1 N ...... 0\ Leffers AG I >• I ==.999 ~------,------... -l------e_ - .c .99 ~ .95 .c .80 ...o .50 a.. .20 .05 ____--~------~------J ______~ ______.01 I .001 ------..,------, ------I -0.1 0.0 0.1 LEF Ret Average: -0.0000692 W-test for Normality Std Dev: 0.0160731 R: 0.9690 N of data: 1724 P value (approx): < 0.0100 Mauser-Waldeck AG I I .999 - _I- .99 .95 :::::: : : : : : : : : : : ; : : : : : : : : : : : : ! ~: :: :.j: :':>• .80 r - - - ..c .50 ct! ..c .20 ...o .05 ~~:~ ~~~ ~ ~ ~ - -: ~-.;7- ---~~~ ~ I ~ ~~ ------~ ~- a.. .01 _ ... ___ • ._, /,~:- _ ~~ ______I _ ------1 - .001 ------~------4-~==~==~=~~=~~ -0.16 -0.06 0.04 0.14 MAU Ret Average: 0.0002249 W-test for Normality Std Dev: 0.0239830 R: 0.9665 N of data: 882 p value (approx): < 0.0100 N ~ '-l N ~ 00 Oppermann Versand AG I .999 ---r------~------>• I I .99 ---r------,------___ ~ ______J __ _ == ..c .95 ~ .80 ..c .50 o... - - -:------~ ~~ ~ ~~ ~ ~~~ ~ ~ ~~ ~:~~~ ~~ ~~ ~ CL .20 .05 .01 .001 -0.1 0.0 0.1 opp Ret Average: -0.0003680 W-test for Normality Std Dev: 0.0203536 R: 0.9701 N of data: 1772 p value (approx): < 0.0100 Schumag AG >• .999 = .99 .c .95 CIS I .c .80 -1------I-- o I I ... .50 --~------r- Cl.. I I .20 ---~------r- ______~ ______L_ .05 I I .01 .001 ------4------~- -0.08 0.02 0.12 SCM Ret Average: 0.0009370 W-test for Normality Std Dev: 0.0149049 R: 0.9605 N of data: 1843 p value (approx): < 0.0100 tv ..... \0 N oN CDAX Brewery Index >- .999 6 - ?=::~= = ='!.!"!. ~= ~ :g5 as .80 ..c .50 o .20 ------T------T-I I ~ ______------~------+- ~ ______L_ c: .~~ .0'61 ---I------I------r-I I I I -0.06 -0.01 0.04 0.09 Brew Ret Average: 0.0004079 W-test for Normality Std Dev: 0.0088904 R: 0.9202 N of data: 3660 p value (approx): < 0.0100 CDAX Chemicals Index -"'--1---- -r------,------~ >• .rig -r------,------~ -~------~------, , .c :~8 ctS =~======~======~--r------,---- .c ·~9_~------.J- ...o .0'61 _,_.--e-" -e- - --_'-11" c.. -0.09 -0.04 0.01 0.06 CHEM Ret Average: 0.0004421 W-test for Normality Std Dev: 0.0081921 R: 0.9606 N of data: 3660 p value (approx): < 0.Q100 N N ...... N N N CDAX Construction Index fl 0- .o~~ -0.1 0.0 0.1 CON Ret Average: 0.0003831 W-test for Normality Std Dev: 0.0098157 R: 0.9313 N of data: 3660 P value (approx): < 0.0100 0 0 0 0 ._z.m CO V -" I I I I I '. I I I I I I I I II. I , I I I I I I ------: -: ~ -: -: -,- ~:- ~ ------I I I I I I I I I ~ ...... q AlmqeqOJd 223 0 0 0 ci ._~L!) 0 v -L!) I I I I I I I I CIlO) I I I E . X ~O • I I e 0 0. I I I Z 0. I l{) ~ L a .E I Q) iii :::l o (ij 2 > ~a: 0. x Q) "'C C >< «o () ~..... ~ ~ ...... ~ AlmqeqOJd 224 Appendix 6: Tables for Chapter 6: Data Analysis Table 6.1: Results of the Ryan-Joiner Statistic R name Variable mean standard # of R- p-value --- deviation obser- Stat. vations Allgauer Brauhaus AG alb ret 0.0001160 0.0058717 653 0.9254 <0.010 Allgemeine Gold- und ags ret 0.0003809 0.0082801 1512 0.8980 <0.010 Silberscheideanstalt AG Brauerei Moninger AG bmo ret -0.0001967 0.0184070 1654(*) 0.6352 <0.010 Brauhaus Amberg AG bha ret 0.0000551 0.0099116 2811 0.8962-<0.010 Buderus AG bud ret -0.0000955 0.0170592 873 0.7907 <0.010 Didier-Werke AG did ret 0.0000122 0.0206554 1654 0.9755 <0.010 Dinkelacker Brauerei AG dwb ret -0.0001994 0.0088355 704(*) 0.8900 <0.010 Dorris Scharmann AG sis ret -0.0008207 0.0355576 1135(*) 0.8793 <0.010 DUEWAGAG wue ret 0.0007601 0.0165454 1726 0.9313 <0.010 Eschenweiler Bergwerk AG ebv ret 0.0007929 0.0133712 2109 0.8962 <0.010 E'ZWO Computervertrieb AG elc ret 0.0025683 0.0423998 722 0.9875 <0.010 Gerresheimer Glas AG ger ret 0.0004965 0.0168975 2695 0.9640 <0.010 Hegener + Glaser AG hgm ret -0.0026963 0.0437583 503 0.7190 <0.010 Harpen AG hap ret -0.0002154 0.0151772 1501(*) 0.9592 <0.010 Hochtief AG hot ret 0.0002514 0.0183551 1629 0.9598 <0.010 Hofbrauhaus Wolters AG how ret 0.0002774 0.0070281 2686 0.8885 <0.010 Horten AG hor ret 0.0003861 0.0120469 930 0.9409 <0.010 INFO Gesellschaft fUr igi ret -0.0000906 0.0139879 1089(*) 0.9230 <0.010 Informationssysteme AG KM Europa Metal AG kme ret -0.0000296 0.0177835 1563 0.9840 <0.010 Koepp AG kpp ret 0.0003817 0.0232422 2770 0.9531 <0.010 Krauss-Maffei AG kma ret 0.0007489 0.0145666 1546(*) 0.9606 <0.010 KromschrOder AG kro ret 0.0007263 0.0171201 2975 0.9666 <0.010 Kiihltransit AG ktr ret 0.0001270 0.0246627 2342(*) 0.8389 <0.010 Leffers AG lef ret -0.0000692 0.0160731 1724 0.9690 <0.010 Maihak AG rnbk ret 0.0004492 0.0204422 2915(*) 0.8718 <0.010 MassaAG mas ret -0.0001718 0.0220875 1666 0.9050 <0.010 Mauser-Waldeck AG mau ret 0.0002249 0.0239830 882 0.9665 <0.010 Meinecke AG mei ret 0.0007526 0.0162083 2995(*) 0.5114 <0.010 Nebelhombahn AG nhb ret -0.0001470 0.0085860 859 0.9626 <0.010 Oberland Glas AG olg ret -0.0000327 0.0197633 1486 0.9068 <0.010 Oppermann Versand AG opp ret -0.0003680 0.0203536 1772 0.9701 <0.010 Papierfabrik WeiBenstein AG paw ret 0.0002976 0.0213016 1944 0.9172 <0.010 Pfaff AG pfa ret -0.0002398 0.030168 870 0.9399 <0.010 Schumag AG scm ret 0.0009370 0.0149049 1843(*) 0.9605 <0.010 C-Dax Brewery Index brew 0.0004079 0.0088904 3660 0.9202 <0.010 C-Dax Chemicals Index chern 0.0004421 0.0081921 3660 0.9606 <0.010 C-Dax Construction Index con 0.0003831 0.0098157 3660 0.9313 <0.010 C-Dax Electricals Index elec 0.0004898 0.0095002 3660 0.9489 <0.010 C-Dax Machinery Index mach 0.0002728 0.0092006 3660 0.8669 <0.010 C-Dax Paper Index pap 0.0004361 0.0102383 3660 0.9358 <0.010 C-Dax Retail Index ret 0.0003113 0.0107195 3660 0.8743 <0.010 C-Dax Steel Index ste 0.0004127 0.0108428 3660 0.9381 <0.010 C-Dax Transportation Index tran 0.0004479 0.0154569 3660 0.8982 <0.010 C-Dax Index cdax 0.0004138 0.0077348 3660 0.9505 <0.010 (0) indicates that the series included missing values which were not used 226 Table 6.2: Results of the Studentized Range Test name # of Studentized p-value data. Range {approx.} statistic Allgauer Brauhaus AG 653 11.8951 <0.005 Allgemeine Gold- und 1512 22.2067 <0.005 Silberscheideanstalt AG Brauerei Moninger AG 1654 37.2528 <0.005 Brauhaus Amberg AG 2811 16.7396 <0.005 Buderus AG 873 23.8841 <0.005 Didier-Werke AG 1654 13.2882 <0.005 Dinkelacker Brauerei AG 704 14.9526 <0.005 DORRIS SCHARMANN AG 1135 20.3062 <0.005 DUEWAGAG 1726 15.3684 <0.005 Eschenweiler Bergwerk AG 2109 18.7291 <0.005 E'ZWO Computervertriebs AG 722 6.6941 normal Gerresheimer Glas AG 2695 14.6317 <0.005 Hegener + Glaser AG 503 27.6019 <0.005 Harpen AG 1501 11.8392 <0.005 Hochtief AG 1629 15.7723 <0.005 Hofbrauhaus Wolters AG 2686 17.6689 <0.005 Horten AG 930 11.8967 <0.005 INFO Gesellschaft fUr 1089 12.2182 <0.005 Informationssysteme AG KM Europa Metal AG 1563 9.9071 <0.005 Koepp AG 2770 12.3341 <0.005 Krauss-Maffei AG 1546 9.8688 <0.005 Kromschroder AG 2975 13.9560 <0.005 Kiihltransit AG 2342 23.9323 <0.005 Leffers AG 1724 15.1200 <0.005 Maihak AG 2915 22.9390 <0.005 MassaAG 1666 24.2492 <0.005 Mauser-Waldeck AG 882 12.0905 <0.005 Meinecke AG 2995 56.2486 <0.005 Nebelhombahn AG 859 10.8114 <0.005 Oberland Glas 1486 21.7419 <0.005 Oppermann Versand AG 1772 12.2243 <0.005 Papierfabrik WeiBensteinAG 1944 15.2472 <0.005 Pfaff AG 870 15.6133 <0.005 Schumag AG 1843 12.6920 <0.005 C-Dax Brewery Index 3660 18.2238 <0.005 C-Dax Chemicals Index 3660 18.8592 <0.005 C-Dax Construction Index 3660 21.9786 <0.005 C-Dax Electricals Index 3660 33.7203 <0.005 C-Dax Machinery Index 3660 41.0389 <0.005 C-Dax Paper Index 3660 22.8943 <0.005 C-Dax Retail Index 3660 33.0685 <0.005 C-Dax Steel Index 3660 29.5212 <0.005 C-Dax Transportation Index 3660 37.4950 <0.005 C-Dax Index 3660 20.5938 <0.005 227 Table 6.3: Results of the Skewness Test name # of skewness cut-off 120int data. statistic g 1 {1 % a1212fox ·2 Allgiiuer Brauhaus AG 653 1.463620 0.224 Allgemeine Gold- und 1512 1.691550 0.146 Silberscheideanstalt AG Brauerei Moninger AG 1654 -20.761000 0.140 Brauhaus Amberg AG 2811 0.825803 0.109 Buderus AG 873 -7.537190 0.193 Didier Werke AG 1654 0.055754 0.140 Dinkelacker Brauerei AG 704 1.485480 0.215 Dorris Scharmann AG 1135 0.634656 0.170 DUEWAGAG 1726 1.111330 0.137 Eschweiler Bergwerk AG 2109 0.338318 0.125 E'ZWO Computervertrieb AG 722 (*) 0.232896 0.212 Gerresheimer Glas AG 2695 (*) 0.142416 0.110 Hegener+Glaser AG 503 16.248900 0.255 Harpen AG 1501 0.160519 0.147 Hochtief AG 1629 (*) -0.177669 0.140 Hofbrauhaus Wolters AG 2686 1.014700 0.111 Horten AG 930 0.367389 0.187 INFO Gesellschaft fiir 1089 0.260273 0.176 Informationssysteme AG KM Europa Metal AG 1563 0.356845 0.147 Koepp AG 2770 0.368969 0.108 Krauss-Maffei 1546 0.538990 0.147 Kromschrtider AG 2975 0.504927 0.105 Kiihltransit AG 2342 0.671051 0.120 Leffers AG 1724 0.687393 0.135 Maihak AG 2915 2.361950 0.106 MassaAG 1666 -0.438401 0.139 Mauser-Waldeck AG 882 -0.227838 0.192 Meinecke AG 2995 29.97210 0.104 Nebelhornbahn AG 859 0.380926 0.195 Oberland Glas AG 1486 3.263660 0.148 Oppermann Versand AG 1772 0.287915 0.134 Papierfabrik WeiBenstein AG 1944 1.023880 0.125 Pfaff AG 870 -0.161448 0.193 Schumag AG 1843 0.708152 0.132 C-Dax Brewery index 3660 1.365100 0.094 C-Dax Chemicals Index 3660 -0.646666 0.094 C-Dax Construction Index 3660 -0.235541 0.094 C-Dax Electricals Index 3660 -0.333063 0.094 C-Dax Machinery Index 3660 0.278852 0.094 C-Dax Paper Index 3660 0.401792 0.094 C-Dax Retail Index 3660 0.029186 0.094 C-Dax Steel Index 3660 -0.323493 0.094 C-Dax Transportation Index 3660 1.389910 0.094 C-Dax Index 3660 -0.993850 0.094 Bold means that the hypothesis cannot be rejected at neither the 5% nor the 1% level. (*) means that the hypothesis cannot be rejected at the 1% level but is rejected at the 5% level. 228 Table 6.4: Results of the Kurtosis Test kurtosis .!!lmE: lower name #of statistic cut-off cut-off data. &2+3 Qoint 1% Qoint 1% (aQQrox·2 (aQQrox·2 Allgauer Brauhaus AG 653 20.29040 3.52 2.61 Allgemeine Go1d- und 1512 40.02750 3.33 2.73 Si1berscheideanstalt AG Brauerei Moninger AG 1654 684.07300 3.32 2.74 Brauhaus Amberg AG 2811 20.48280 3.23 2.80 Buderus AG 873 148.36800 3.44 2.66 Didier Werke AG 1654 7.46867 3.32 2.74 Dinke1acker Brauerei AG 704 20.23950 3.50 2.62 Dorris Scharmann AG 1135 32.78160 3.39 2.69 DUEWAGAG 1726 13.01630 3.31 2.75 Eschenweiler Berwerk AG 2109 22.88510 3.28 2.77 E'ZWO Computervertrieb AG 722 4.27477 3.50 2.62 Gerresheimer Glas AG 2695 8.96834 3.24 2.80 Hegener+Giaser AG 503 352.65900 3.60 2.57 Harpen AG 1501 8.31158 3.33 2.73 Hochtief AG 1629 12.26150 3.32 2.74 Hofbrauhaus Wolters AG 2686 21.64620 3.24 2.79 Horten AG 930 9.07166 3.43 2.66 INFO Gesellschaft fiir 1089 11.50350 3.40 2.69 Informationssysteme AG KM Europa Metal AG 1563 5.33340 3.33 2.73 Koepp AG 2770 9.26044 3.24 2.80 Krauss-Maffei AG 1546 7.00231 3.33 2.73 Kromschroder AG 2975 7.68252 3.22 2.81 Kiihltransit AG 2342 41.26310 3.26 2.78 Leffers AG 1724 9.52951 3.31 2.75 Maihak AG 2915 40.47810 3.23 2.80 MassaAG 1666 33.44490 3.32 2.74 Mauser-Waldeck AG 882 7.94187 3.44 2.66 Meinecke AG 2995 1365.29000 3.22 2.81 Nebelhombahn AG 859 9.96369 3.45 2.66 Oberland Glas AG 1486 59.72760 3.33 2.73 Oppermann Versand AG 1772 7.85130 3.30 2.76 Papierfabrik WeiBenstein AG 1944 16.93610 3.29 2.77 Pfaff AG 870 14.79700 3.44 2.66 Schumag AG 1843 8.30347 3.30 2.76 C-Dax Brewery Index 3660 18.83700 3.21 2.82 C-Dax Chemicals Index 3660 13.63360 3.21 2.82 C-Dax Construction Index 3660 20.94770 3.21 2.82 C-Dax Electricals Index 3660 18.44560 3.21 2.82 C-Dax Machinery Index 3660 115.37100 3.21 2.82 C-Dax Paper Index 3660 22.32700 3.21 2.82 C-Dax Retail Index 3660 65.17840 3.21 2.82 C-Dax Steel Index 3660 33.48860 3.21 2.82 C-Dax Transportation Index 3660 83.27320 3.21 2.82 C-Dax Index 3660 16.83790 3.21 2.82 229 Table 6.5: Results of the Independence Test sample # of Q-Stat. LB- p-value name ---Variable obser- observ. @36 Stat. {approx.} vation included ~ @ 36 ~ Allgauer Brauhaus AG alb ret 653 653 NA 45.39 (*) 0.139 Allgemeine Gold- und ags ret 1512 1512 NA 88.81 0.000 Silberscheideanstalt AG Brauerei Moninger AG bmo ret 1654 1652 44.735 NA (*) 0.151 Brauhaus Amberg AG bha ret 2811 2811 NA 787.57 0.000 Buderus AG bud ret 873 873 NA 66.18 0.002 Didier-Werke AG did ret 1654 1654 NA 35.85 (*) 0.476 Dinkelacker Brauerei AG dwb ret 704 702 51.353 NA 0.047 Dorris Scharmann AG sis ret 1137 1135 66.354 NA 0.002 DUEWAGAG wue ret 1726 1726 NA 126.39 0.000 Eschenwei1er Bergverein AG ebv ret 2109 2109 NA 166.37 0.000 E'ZWO Computervertriebs AG elc ret 763 722 237.15 NA 0.000 Gerresheimer Glas AG ger ret 2695 2695 NA 47.68 (*) 0.092 Hegener+Glaser AG hgm ret 507 503 45.797 NA (*) 0.127 Harpen AG hap ret 1505 1501 47.391 NA (*) 0.097 Hochtief AG hot ret 1629 1629 NA 39.14 (*) 0.331 Hofbrauhaus Wolters AG how ret 2686 2686 NA 154.69 0.000 Horten AG h~r ret 932 930 81.945 NA 0.000 INFO Gesellschaft fiir igi ret 1093 1089 129.39 NA 0.000 Informationssysteme AG KM Europa Metal AG kme ret 1563 1563 NA 57.79 0.012 Koepp AG kpp ret 2770 2770 NA 341.61 0.000 Krauss-Maffei AG kma ret 1690 1546 129.47 NA 0.000 KromschrOder AG kro ret 2975 2975 NA 45.33 (*) 0.137 Kiihltransit AG ktr ret 2561 2342 87.785 NA 0.000 Leffers AG 1ef ret 1760 1724 102.07 NA 0.000 Maihak AG mhk ret 2920 2915 63.175 NA 0.003 Massa AG mas ret 1668 1666 48.142 NA (*) 0.085 Mauser-Waldeck AG mau ret 887 882 80.664 NA 0.000 Meinecke AG mei ret 3007 2995 40.829 NA (*) 0.267 Nebelhornbahn AG nhb ret 859 859 NA 211.10 0.000 Oberland Glas AG olg ret 1488 1486 29.581 NA (*) 0.766) Oppermann Versand AG opp ret 1772 1772 NA 66.95 0.001 Papierfabrik WeiBenstein AG paw ret 1944 1944 NA 65.66 0.002 Pfaff AG pfa ret 870 870 NA 48.59 (*) 0.078 Schumag AG scm ret 1848 1843 81.504 NA 0.000 C-Dax Brewery Index brew 3660 3660 NA 121.32 0.000 C-Dax Chemical Index chem 3660 3660 NA 67.66 0.000 C-Dax Construction Index con 3660 3660 NA 149.23 0.000 C-Dax Electrical Index elec 3660 3660 NA 139.60 0.000 C-Dax Machinery Index mach 3660 3660 NA 74.74 0.000 C-Dax Paper Index pap 3660 3660 NA 45.16 (*) 0.141 C-Dax Retail Index ret 3660 3660 NA 36.89 (*) 0.427 C-Dax Steel Index ste 3660 3660 NA 96.87 0.000 C-Dax Transportation tran 3660 3660 NA 43.99 (*) 0.169 C-Dax Index cdax 3660 3660 NA 178.30 0.000 NA: Not applicable, C*) means that the hypothesis cannot be rejected at the 5% level of significance; bold means that the hypotheis cannot be rejected at the 1 % level but is rejected at the 5% level. 230 Table 6.6: Results of the Levene Test BRC PBR BHA HOW BMO BAY! oWB BAY2 ALB BREW COAX PSC 22.4724 140.916 42.2029 80.3821 0.734711 49.2541 6.04557 0.64684 57.1454 0.315401 0.254433 BRC 152.035 0.639418 5.89878 5.83395 74.4515 0.408783 10.4473 12.143 35.6621 27.8942 PBR 281.648 433.703 68.9383 16.9508 108.306 64.5935 194.168 248.079 319.012 BHA 5.0412 11.7811 151.175 2.68074 29.859 22.2164 85.6286 76.7622 HOW 24.7543 260.610 15.4183 79.0395 23.2482 190.23 196.624 BMO 26.6905 1.23181 1.05706 19.9615 1.97996 0.565085 BAVl 56.2920 21.9420 141.081 87.2806 123.706 DWB 11.5117 42.1939 18.2537 16.6997 BAV2 93.2815 0.671716 3.46717 ALB 159.303 201.877 BREW 2.48482 Bold printed results cannot reject homoskedasticity at the 5% level. Table 6.7: Results of the Levene Test - Same Time Period BRC PBR BHA HOW BMO BAY! oWB BAY2 ALB BREW CDAX PSC 9.40057 NA 10.0686 6.8113 10.2548 NA 8.24392 40.0526 16.5132 8.91299 60.5936 BRC NA 25.7155 22.6321 1.89631 NA 0.967969 2.68069 30.0418 2.37047 1.58855 PBR NA NA NA NA NA NA NA NA NA BHA 0.892309 18.455 NA 33.3664 82.6259 0.919395 47.9338 142.827 HOW 16.718 NA 29.9181 81.2633 4.11087 47.0579 159.076 BMO NA 4.14156 0.22917 19.731 5.53975 0.71841 BAVI NA NA NA NA NA DWB 11.5117 42.1939 0.442042 12.3887 BAV2 93.2815 21.948 0.742177 ALB 65.0528 171.57 BREW 35.7662 Bold printed results cannot reject homoskedasticity at the 5% level. 231 Table 6.8: Results of the Stationarity Test name Variable mean mean standard #of --- daily basis alliiUal deviation obser- basis vations Allgauer Brauhaus AG alb ret 0.0001160 0.0290 0.0058717 653 Allgemeine Gold- und ags ret 0.00038090 0.0952 0.0082801 1488 Silberscheideanstalt AG Brauerei Moninger AG bmo ret - 0.0001967 - 0.0492 0.0184070 1654(*) Brauhaus Amberg AG bha ret 0.0000551 0.0138 0.0099116 2811 Buderus AG bud ret - 0.000095477 -0.0239 0.017059 873 Didier-Werke AG did ret 0.000012212 0.0031 0.020655 1654 Dinkelacker Brauerei AG dwb ret - 0.0001994 -0.0499 0.0088355 704(*) DORRIS SCHARMANN AG sis ret - 0.00082067 -0.2052 0.035558 1137(*) DUEWAGAG wue ret 0.00076010 0.1900 0.016545 1726 Eschenweiler Bergverein AG ebv ret 0.00079293 0.1982 0.013371 2109 E'ZWO Computervertriebs AG elc ret 0.0025683 0.6421 0.042400 763(*) Gerrresheimer Glas AG ger ret 0.00049653 0.1241 0.016897 2695 Hegener + Glaser AG hgm ret 0.0016505 0.4126 0.10697 507(*) Harpen AG hap ret - 0.00021543 - 0.0786 0.015177 1505(*) Hochtief AG hot ret 0.00025139 0.0628 0.018355 1629 Hofbrauhaus Wolters AG how ret 0.0002774 0.0694 0.0070281 2686 Horten AG hor ret 0.00038615 0.0965 0.012047 932(*) INFO Gesellschaft fiir igi ret - 0.000090641 -0.0227 0.013988 1093(*) Informationssysteme AG KM Europa Metal AG kme ret - 0.000029630 -0.0074 O.oJ 7783 1563 Koepp AG kpp ret 0.00038173 0.0954 0.023242 2770 Krauss-Maffei AG kma ret 0.00074891 0.1872 0.014567 1690(*) Kromschrtider AG kro ret 0.00072625 0.1816 0.017120 2975 Kiihltransit AG ktr ret 0.00012701 0.0318 0.024333 2561(*) Leffers AG lef ret - 0.000069225 -0.0173 0.016073 1760(*) Maihak AG mhk ret 0.00044916 0.1123 0.020442 2920(*) Massa AG mas ret - 0.00017177 -0.0429 0.022087 1668(*) Mauser-Waldeck AG mau ret 0.00022491 0.0562 0.023983 887(*) Meinecke AG mei ret 0.00075263 0.1882 0.016208 3007(*) Nebelhornbahn AG nhb ret - 0.00014695 -0.0367 0.0085606 859 Oberland Glas AG olg ret - 0.000032668 -0.0082 0.019763 1488(*) Oppermann Versand AG opp ret -0.00036805 -0.0920 0.020354 1772 Papierfabrik WeiBenstein AG paw ret 0.00029759 0.0744 0.021301 1944 Pfaff AG pfa ret - 0.00023983 -0.0600 0.030168 870 Schumag AG scm ret 0.00093704 0.2343 0.014905 1848(*) C-Dax Brewery Index brewret 0.0004079 0.1020 0.0088904 3660 C-Dax Chemical Index chern ret 0.00044210 0.1105 0.0081921 3660 C-Dax Construction Index con ret 0.00038310 0.0958 0.0098157 3660 C-Dax Electrical Index elec ret 0.00048982 0.1105 0.0095002 3660 C-Dax Machinery Index mach ret 0.00027284 0.0682 0.0092006 3660 C-Dax Paper Index pap ret 0.00043605 0.1090 0.010238 3660 C-Dax Retail Index ret ret 0.00031132 0.0778 0.010719 3660 C-Dax Steel Index ste ret 0.00041270 0.1032 0.010843 3660 C-Dax Transportation Index tran ret 0.00044789 0.1120 0.015457 3660 C-Dax Index cdax ret 0.0004138 0.1035 0.0077348 3660 (*) denotes that the series contains missing values. Check Table A2 (Appendix 2) for the number of missing values. 232 Table 6.9: Results of the Frequency Distribution Range of Annual Percentage Frequency Mean Return Distribution >60% from 50% to 60% from 40% to 50% from 30% to 40% from 20% to 30% from 10% to 20% 14 from 5% to 10% 9 from 0% to 5% 5 from - 10% to 0% 12 from - 20% to - 10% from - 30% to - 20% 233 Table 6.10: Results of the Unit Root Test ~ Variable sample # of obs. ADF D-W adjusted obs. included Statistic Statistic R2 Allgauer Brauhaus AG alb ret 653 652 -23.03917 2.0142290.448680 Allgemeine Gold- und ags ret 1512 1511 -38.95434 1.9991690.501064 Silberscheideanstalt AG Brauerei Moninger AG bmo ret 1654 1650 -37.73734 2.007884 0.463235 Brauhaus Amberg AG bha ret 2811 2810 -35.58895 2.0915220.310603 Buderus AG bud ret 873 872 -24.90705 2.0049940.415578 Didier Werke AG did ret 1654 1653 -39.56011 1.998669 0.486319 Dinkelacker Brauerei AG dwb ret 704 700 -26.58701 1.993518 0.502445 DORRIS SCHARMANN AG sis ret 1137 1133 -36.38561 2.015974 0.538884 DUEWAGAG wue ret 1726 1725 -37.94526 2.0140710.454921 Eschenweiler Bergverein AG ebv ret 2109 2108 -38.04061 2.025425 0.406995 E'ZWO Computervertriebs AG e1c ret 763 717 -16.41076 1.871874 0.272589 Gerresheimer Glas AG ger ret 2695 2694 -49.38088 1.9961040.475097 Hegener + Glaser AG hgm ret 507 500 -21.58741 2.004543 0.482374 Harpener AG hap ret 1505 1498 -39.98198 1.999522 0.490579 Hochtief AG hot 1629 1628 -39.54408 1.9994000.489926 Hofbrauhaus Wolters AG how ret 2686 2685 -46.79433 2.026366 0.449177 Horten AG hor ret 932 928 -31.01221 2.0046100.508941 INFO Gesellschaft flir igi ret 1093 1086 -25.13029 1.999405 0.367543 Informationssysteme AG KM Europa Metal AG kme ret 1563 1562 -42.85058 2.0010470.540659 Koepp AG kpp ret 2770 2769 -39.76182 2.0107040.363386 Krauss Maffei AG kma ret 1690 1516 -31.1 1077 2.0162200.389576 KromschOder AG kro ret 2975 2974 -50.41082 1.9987180.460754 Kiihltransit AG ktr ret 2561 2320 -44.35930 2.0175700.458894 Leffers AG lef ret 1760 1710 35.45163 1.982892 0.423573 Maihak AG mhk ret 2920 2912 -52.32257 2.004553 0.484565 MassaAG mas ret 1668 1664 -41.57466 2.0041160.509505 Mauser-Waldeck AG mau ret 887 879 -27.32593 1.986356 0.459262 Meineke AG mei ret 3007 2991 -50.63357 1.964559 0.461529 Nebelhombahn AG nhb ret 859 858 -20.84935 2.060723 0.336017 Oberland Glas AG olg ret 1488 1484 -37.68032 1.9965020.488939 Oppermann Versand AG opp ret 1772 1771 -37.18349 1.996458 0.438383 Papierfabrik Weissenstein AG paw ret 1944 1943 -40.45077 1.9891960.457127 Pfaff AG pfa ret 870 869 -26.75988 1.983841 0.451706 Schumag AG scm ret 1848 1840 -38.59979 2.0126150.447407 C-Dax Brewery Index brew 3660 3659 -57.14468 2.0126160.471579 C-Dax Chemical Index chern 3660 3659 -55.29358 1.995338 0.455199 C-Dax Construction Index con 3660 3659 -53.13241 2.012228 0.435498 C-Dax Electrical Index elec 3660 3659 -53.10991 1.9841170.435290 C-Dax Machinery Index mach 3660 3659 -57.48868 2.0032620.474572 C-Dax Paper Index pap 3660 3659 -62.37009 1.9993940.515306 C-Dax Retail Index ret 3660 3659 -59.09050 2.000335 0.488298 C-Dax Steel Index ste 3660 3659 -55.62457 1.9936900.458162 C-Dax Transportation Index tran 3660 3659 -61.25661 2.00429 0.506301 C-Dax Index cd ax 3660 3659 -50.98146 1.9938000.415292 234 Table 6.11: Results of Identifying Outliers Series potential min. max. !;;. Q .k l! small (*) large (*) "actual" outliers data data outliers lowlhigh point point lowlhigh ags ret I/O -0.0877 0.0962 54 I 55 0.13885 ·0.04368 -0.00584 110 2 56 0.00412 0.04091 alb ret 0/0 -0.0244 0.0455 36 I 37 0.26825 0.00454 -0.00205 0/0 bha ret 0/4 -0.0672 0.0987 74 I 75 0.08992 0.00395 0.00199 0/4 2 76 -0.00108 0.00847 3 77 -0.00716 0.00272 4 78 0.00058 0.00934 5 79 -0.00028 -0.00331 bma ret 111 -0.6000 0.0857 57 I 58 0.12875 ·0.54025 0.01918 III 2 59 0.00423 -0.00313 bud ret 111 -0.3219 0.0855 41 I 42 0.21202 ·0.25558 0.02730 III 2 43 0.00128 -0.00602 did ret 211 -0.1460 0.1285 57 I 58 0.12875 ·0.00148 0.04437 211 2 59 ·0.05100 -0.00483 3 60 0.00298 -0.00393 dwb ret III -0.0488 0.0833 37 I 38 0.25457 ·0.00716 0.02882 111 2 39 0.00514 -0.00527 ebv ret 0/4 -0.1157 0.1348 64 I 65 0.11017 0.00939 0.01487 0/4 2 66 -0.01752 0.00809 3 67 0.00704 0.00138 4 68 -0.00624 0.02005 5 69 -0.00865 -0.00143 elc ret 0/0 -0.1271 0.1568 38 I 39 0.24232 0.01514 -0.01797 0/0 ger ret 212 -0.1231 0.1242 73 I 74 0.09302 ·0.01623 0.01033 212 2 75 ·0.00694 0.01478 3 76 0.00172 -0.00091 hap ret 0/0 -0.0888 0.0909 54 I 55 0.13885 0.00033 -0.00606 0/0 hgm ret 112 -0.7661 0.0769 31 I 32 0.37080 -0.69655 0.00143 112 2 33 0.00625 0.01166 3 34 -0.00416 ·0.00115 hor ret Oil -0.0621 0.0813 43 I 44 0.19588 0.00109 0.01679 Oil 2 45 -0.00162 -0.00449 hot ret 2/2 -0.1734 0.1161 57 I 58 0.12875 ·0.02507 0.00317 212 2 59 ·0.05449 0.00956 3 60 0.00023 -0.00307 how ret 0/2 -0.0409 0.0833 73 I 74 0.09302 ·0.00030 0.00671 212 2 75 ·0.00019 0.02707 3 76 0.00056 -0.00217 igi ret 2/0 -0.0909 0.0800 46 I 47 0.17597 0.00299 -0.00837 0/0 kma ret 0/1 -0.0500 0.0938 55 I 56 0.13531 0.00314 0.01425 0/1 2 57 0.00025 -0.00004 kme ret 012 -0.0788 0.0974 55 I 56 0.13531 0.00286 0.00417 012 2 57 -0.00588 0.00625 3 58 -0.00217 -0.00055 kpp ret Oil -0.1200 0.1667 74 I 75 0.09144 -0.00302 0.01036 III 2 76 0.00156 -0.00728 kro ret 211 -0.1026 0.1364 77 I 78 0.08701 ·0.00251 0.02570 213 2 79 ·0.01442 0.00256 3 80 0.00322 0.00226 4 81 ·0.02464 -0.00197 con't. 235 Table 6.11 (con't) Series potential minimu maximu £ Q k .1! small (*) laree (*) "actual" outliers ill ill outliers lowlhigh data data lowlhigb point point ktr ret 0/3 -0.2390 0.3433 68 1 69 0.10181 -0.00920 0.09352 113 2 70 0.01513 0.04546 3 71 -0.01380 0.01922 4 72 0.00380 -0.00469 1ef ret III -0.0930 0.1500 58 1 59 0.12572 ·0.04110 0.05889 112 2 60 0.00245 0.01540 3 61 0.00152 -0.00328 mas ret 212 0.2814 0.2542 57 1 58 0.12875 -0.08791 0.13345 3/2 2 59 -0.05622 0.00530 3 60 -0.01635 -0.00014 4 61 0.00534 -0.00208 mau ret 2/1 -0.1597 0.1303 42 1 43 0.20362 -0.01720 0.02539 111 2 44 0.00566 -0.00112 mhk ret 214 -0.1627 0.3063 76 1 77 0.08844 -0.02326 0.02198 214 2 78 -0.01670 0.05347 3 79 0.00431 0.02334 4 80 0.00593 0.01879 5 81 0.00476 -0.00623 mei ret 211 0.1833 0.7284 77 1 78 0.08702 -0.07551 0.63437 212 2 79 -0.02840 0.00196 3 80 0.00044 -0.00068 nhb ret 0/2 -0.0426 0.0500 41 1 42 0.21202 0.00568 0.00303 0/2 2 43 0.00360 0.00031 3 44 -0.00373 -0.00399 olg ret 011 -0.0945 0.3351 54 1 55 0.13885 0.00038 0.25233 011 2 56 -0.00476 -0.00375 opp ret 0/1 0.1071 0.1417 59 1 60 0.12282 0.00311 0.00604 011 2 61 -0.00363 -0.00579 paw ret 0/2 -0.1026 0.2222 62 1 63 0.11490 0.00414 0.02442 0/2 2 64 0.00670 0.02744 3 65 -0.00343 -0.00438 pfa ret 212 -0.2528 0.2183 41 1 42 0.21202 -0.06278 0.01187 212 2 43 -0.03277 0.04118 3 44 0.01154 -0.00177 scm ret 211 -0.0723 0.1169 60 1 61 0.12006 -0.00905 0.02871 211 2 62 -0.00715 -0.00022 3 63 0.00138 -0.00343 sis ret 215 -0.3158 0.4063 47 1 48 0.17024 0.02512 0.10988 0/5 2 49 -0.08693 0.02380 3 50 -0.00057 0.00493 4 51 0.01000 0.00848 5 52 0.01250 0.03161 6 53 -0.04358 -0.00598 wue ret III -0.0909 0.1634 58 1 59 0.12571 -0.02111 0.05557 211 2 60 -0.00340 -0.00781 3 61 0.00208 0.01347 con't. (*) bold statistics reject "0" outliers. 236 Table 6.11 (con't) Series potential min. max. !;. Q k J! small (*) large (*) ltactual1t outliers data data outliers lowlhigh point point lowlhigh brew ret 110 -0.0756 0.0864 85 1 86 0.07709 -0.02110 -0.00241 5/0 2 87 -0.00507 -0.00458 3 88 -0.00319 -0.00161 6 91 0.00092 0.01610 chern ret 010 -0.0869 0.0677 85 1 86 0.07709 -0.00476 0.01605 412 2 87 -0.00706 0.01088 3 88 -0.00592 -0.00104 4 89 -0.01488 -0.00148 5 90 0.00118 -0.00038 con ret 0/2 -0.1060 0.1098 85 1 86 0.07709 0.00001 0.02810 012 2 87 -0.00308 0.01000 3 88 -0.01455 -0.00051 e1ec ret 012 -0.0988 0.1171 85 1 86 0.07709 -0.00844 0.04539 412 2 87 -0.00572 0.02188 3 88 -0.01109 -0.00161 4 89 -0.00269 -0.00102 5 90 0.00127 -0.00160 mach ret 1/1 -0.1719 0.2057 85 1 86 0.07709 -0.04591 0.16110 6/1 2 87 -0.01923 -0.00011 3 88 -0.02992 -0.00181 4 89 -0.00948 0.00102 5 90 -0.00423 -0.0004 7 92 0.00141 -0.00112 pap ret 312 -0.1090 0.1254 85 1 86 0.07709 -0.02170 -0.00134 3/0 2 87 -0.01527 0.05100 3 88 -0.00069 -0.00022 4 89 0.00040 0.00256 ret ret 3/3 -0.1641 0.1903 85 1 86 0.07709 -0.01705 0.05309 6/5 2 87 -0.02465 0.03250 3 88 -0.01517 0.03478 4 89 -0.00818 0.00055 5 90 -0.00331 0.00010 6 91 -0.00149 -0.00027 7 92 0.00335 0.00023 ste ret 1/1 -0.1658 0.1542 85 1 86 0.07709 -0.06542 0.09267 112 2 87 0.00273 0.00152 3 88 -0.04560 -0.00165 tran ret 111 -0.2455 0.3340 85 1 86 0.07709 -0.11462 0.23644 1/3 2 87 0.00728 0.01339 3 88 -0.03336 0.00893 4 89 -0.00059 -0.00168 cdax ret 111 -0.0948 0.0645 85 1 86 0.07709 -0.02077 0.01805 3/3 2 -0.00247 0.00251 3 -0.01103 0.00027 4 0.00181 -0.00039 (*) bold statistics reject" 0" outliers. 237 Table 6.12: Results of the Outliers' Test comQany name symbol announce- outlier(s) outlier's comments ment date date Allgemeine Go1d- und ags ret Aug. 15,90 -0.087719 Oct. 02, 90 announcement Silberscheideanstalt AG reaction? Brauerei Moninger AG bmo ret Jan. 18,90 -0.60000 Oct. 10,94 0.085714 Oct. 09, 89 takeover rumors? Brauhaus Amberg AG bha ret Apr. 23, 85 0.098689 May 06,88 0.090426 Oct. 24, 90 0.076923 Oct. 26, 90 0.069767 Sept. 21, 90 Buderus AG bud ret Jun. 15, 91 -0.321918 Jun. 02, 92 0.085526 Mar. 28, 91 takeover rumors? Didier-Werke AG did ret May 28,89 -0.145946 Aug. 19,91 -0.132075 Oct. 16,89 -0.075897 Sept. 20, 90 Dinke1acker Brauerei AG dwb ret Nov. 03, 93 -0.048780 Nov. 11,95 0.083333 Feb. 19,96 DORRIS SCHARMANN AG sis ret Feb. 18, 92 0.406250 Feb. 21, 96 0.260000 Sept. 04, 95 0.208563 Apr. 15,94 0.180723 Oct. 13,95 0.153846 Oct. 11,95 DUEWAGAG wueret Sept 16, 89 -0.090909 Aug. 19, 91 -0.065217 Aug. 22, 94 0.163366 Aug. 24, 89 Hofbrauhaus Wolters AG how ret Dec. 18, 85 -0.040845 Mar. 20, 87 -0.038461 Jan. 21, 86 announcement reaction? 0.083333 Sept. 26, 86 0.071428 Sept. 24, 86 Eschweiler Berwerks-Ver AG ebv ret Mar. 28, 88 0.134783 Oct. 18,89 0.111111 May 12,89 0.095890 Dec. 08, 87 takeover rumors? 0.088235 Dec. 10, 87 takeover rumors? Gerresheimer Glas AG ger ret Nov. 18, 85 -0.123077 Oct. 16, 89 -0.100447 Aug. 19,91 0.124162 Mar. 30, 90 0.107143 Nov. 13,87 Hochtief AG hot ret Feb. 26, 90 -0.173432 Aug. 19,91 -0.134831 Oct. 16,89 0.116071 Aug. 20, 91 0.103896 Oct. 17,89 Horton AG hor ret Dec. 20, 92 0.081250 Jul. 16,93 KM-Kabe1metai Europe AG kme ret May 30, 90 0.097345 Aug. 27, 90 0.086331 Oct. 01, 93 Koepp AG kpp ret Jul. 30, 85 -0.120000 Jan. 05, 88 0.166667 Dec. 21, 87 Krauss-Maffei AG kma ret Oct. 12,89 0.093755 Jul. 14, 89 takeover rumors? Kromschrtider AG kro ret Aug. 31. 84 -0.102564 Oct. 16,89 -0.094737 Nov. 10,87 0.136364 Mar. 22, 85 0.105072 May 06,91 0.097561 Mar. 08, 90 con't. 238 Table 6.12 (con't) coml2any name symbol announce- outlier{s} outlier's comments ment date date Kiihltransit AG ktr ret Mar. 28, 88 -0.239000 Sept. 25, 87 0.34333 May 12, 86 0.230769 Sept. 03, 86 0.172199 Nov. 04, 86 Leffers AG lef ret Aug. 17, 89 -0.093023 Oct. 16, 89 announcement reaction? 0.150001 Sept. 26, 89 announcement reaction? 0.084507 Aug. 18, 89 announcement reaction Maihak AG mhk ret Dec. 21, 84 -0.162679 Aug. 31,90 -0.131403 Dec. 07, 89 0.306250 Aug. 30, 90 0.264706 Mar. 19,86 0.197605 Dec. 27, 84 announcement reaction? 0.163636 Feb. 28, 91 MassaAG mas ret Jan. 02, 90 -0.281437 Oct. 16, 89 takeover rumors? -0.175373 Aug. 19,91 -0.109465 Nov. 02,92 0.254166 Oct. 17, 89 takeover rumors? 0.111523 Nov. 10, 89 takeover rumors? Mauser-Waldeck AG mau ret Feb. 17, 93 -0.159664 Sept. 15,95 0.130303 Sept. 26, 93 Meinecke AG mei ret Aug. 31, 84 -0.18333 Jul. 30, 93 -0.10000 Dec. 30, 93 0.728395 Feb. 13,86 0.088235 May 08, 91 Nebelhombahn AG nhb ret Mar. 19,93 0.050000 Jan. 04, 96 0.041667 Jul. 31,95 Oberland G1as AG olg ret Sept 18,90 0.335196 Jan. 27, 95 Oppermann Versand AG opp ret Aug. 01, 89 0.141667 Feb. 02, 92 Papierfabrik Weissenstein AG paw ret Jun. 04, 85 0.222222 Feb. 03, 86 0.181818 Feb. 04, 86 Pfaff AG pfa ret Mar. 16,93 -0.252747 Jan. 17,96 -0.164179 Jan. 24. 96 0.218274 Nov. 13,95 0.178571 Jan. 26, 96 Schumag AG scm ret Apr. 12,89 -0.072289 Nov. 14,90 -0.059140 Jun. 16, 94 0.116883 Nov. 15,90 C-Dax Brewery brew ret NA -0.075630 Feb. 11,92 -0.051859 Nov. 10,95 -0.044678 Dec. 21, 90 -0.039750 Jan. 28. 92 -0.036720 Nov. 17,92 -0.033964 Aug. 24, 90 C-Dax Index cdax ret NA -0.094745 Oct. 16, 89 -0.069805 Aug. 19,91 -0.063639 Feb. 08, 92 -0.049959 Oct. 19,87 Crash of Oct. 97 0.064544 Feb. 02, 92 0.044219 Jan. 17,91 0.039776 Nov. 12,87 0.037735 Au~. 27, 90 239 Table 6.13: Estimates of the ARCH Parameters 'ags ret' mean Rt= 0.000381 +Ut (1.789) 'alb ret' mean Rt= 0.000116 +Ut (0.504) possibly ARMA(1,I)Rt = 0.000003 + 0.779411 Rt-I - 0.690925 Ut-I + Ut; R2 = 0.030877 (0.089) (7.52)** (-5.772)** 'bha ret' AR(2) Rt= 0.000006 + 0.332029 Rt-I + 0.121765 Rt-2 + Ut; R2= 0.155547 (0.187) (17.715)** (6.496)** possibly ARMA(I,I)Rt = 0.000006 + 0.59855 I Rt-I- 0.256768 Ut-I + Ut; R2 = 0.153900 (0.185) (15.986)** (-5.684)** 'bmo ret' mean Rt = - 0.000197 +Ut (-0.434) 'bud ret' AR(1) Rt = - 0.000009 + 0.16775 I Rt-I + Ut; R2 = 0.028154 (-0.162) (5.020)** 'did ret' mean Rt= 0.0000012 +Ut (0.024) 'dwb ret' mean Rt = - 0.0001994 +Ut (-0.598) 'ebv ret' AR(2) Rt= 0.000597 + 0.173433 Rt-I + 0.080156 Rt-2 + Ut; R2= 0.041750 (2.088) (7.986)** (3.696)** 'elc ret' AR(1) Rt= 0.001171 + 0.459828 Rt-I + Ut; R2= 0.214421 (0.839) (13.970)** 'ger ret' mean Rt= 0.000497 +Ut (1.525) possibly AR(1) Rt= 0.000480 + 0.049689 Rt-I + Ut R2= 0.02470 (1.474) (2.582)** 'hap ret' mean Rt = - 0.000215 +Ut (-0.550) 'hor ret' mean Rt= 0.000386 +Ut (0.978) 'hot ret' mean Rt= 0.000251 +Ut (0.553) 'how ret' AR(2) Rt= 0.000287 + 0.088062 Rt-I + 0.125238 Rt-2 + Ut; R2= 0.025697 (1.689) (4.597)** (6.534)** possibly ARMA(1,I)Rt = 0.000288 + 0.729940 Rt-I - 0.624460 Ut-I + Ut; R2 = 0.023468 (1.543) (10.878)** (-8.140)** 'igi ret' AR(1) Rt = -0.000006 + 0.263644 Rt-I + Ut; R2= 0.069493 (-0.151) (8.998)** 'kma ret' AR(I) Rt= 0.000634 + 0.220758 Rt-I + Ut; R2= 0.048804 (1.729) (8.814)** 'kme ret' AR(I) Rt = - 0.000003 - 0.081319 Rt-I + Ut; R2= 0.006613 (-0.071) (-0.322)** possibly MA(I) Rt = - 0.000003 - 0.624460 Ut-I + Ut; R2 = 0.006605 (-0.072) (-3.209)** 'kpp ret' AR(1) Rt= 0.000268 + 0.273020 Rt-I + Ut; R2= 0.074577 (0.630) (14.933)** 'kro ret' AR(1) Rt= 0.000670 + 0.078130 Rt-I + Ut; R2= 0.006104 (2.137) (4.272)** 240 Table 6.13 (con't) 'ktr ret' AR( I) Rt= 0.000123 + 0.083023 Rt-I + Ut; R 2= 0.006481 (0.243) (4.016)** 'Ief ret' AR( I ) Rt = - 0.000003 + 0.154154 Rt-I + Ut; R2= 0.023857 (-0.085) (6.461)** 'mas ret' mean Rt = - 0.000172 +Ut (-0.317) 'mau ret' mean Rt= 0.000225 +Ut (0.279) possibly AR( I ) Rt= 0.000215 + 0.074395 Rt-I + Ut; R2= 0.005470 (0.266) (2.196)** 'mei ret' mean Rt= 0.000753 +Ut (2.541 ) 'mhk ret' mean Rt= 0.000449 +Ut (1.186) 'nhb ret' AR(2) Rt = - 0.00009 + 0.296055 Rt-I + 0.093015 Rt-2 +Ut; R2= 0.114278 ( -0.326) (8.689)** (2.730)** possibly ARMA(I ,1)Rt = - 0.000159 + 0.694564 Rt-I - 0.427538 Ut-I + Ut;R2 = 0.121075 (-0.291) (10.720)** (-5.251)** 'olg ret' mean Rt = - 0.00000327 ( -0.064) 'opp ret' AR(I) Rt=-0.000317 + 0.122456 Rt-I (-0.660) (5.189)** 'paw ret' ARMA(I,l)Rt = 0.000302- 0.436729 Rt-I 0.531793 Ut-I + ut;R2 = 0.011020 (0.588) (-2.661)** (3.441 )** 'pfa ret' AR(I) Rt = - 0.000211 + 0.093011 Rt-I (-0.207) (2.744)** Iscm ref AR(I) Rt = 0.00085 + 0.104875 Rt-I + Ut; R2= 0.011005 (2.440) (4.522)** 'sis ret' AR(2) Rt = - 0.00102 0.082308 Rt-I - 0.079853 Rt-2 + Ut; R2= 0.012211 ( -0.972) (-2.772)** (-2.702)** 'wue ret' AR(2) Rt = 0.00066 + 0.082494 Rt-I + 0.084308 Rt-2 + Ut; R2= 0.015168 (1.597) (3.435)** (3.511)** 'brew ret' ARMA(I,I)Rt = 0.00041 + 0.694868 Rt-I - 0.615671 Ut-l + ut;R2 = 0.011977 (2.212)* (8.079)** (-6.533)'* 'chern ret' AR(I) Rt= 0.00040 + 0.089351 Rt-I + Ut; R 2= 0.007984 (2.990)* (5.425)** 'con ret' AR(I) Rt= 0.00034 + 0.128706 Rt-I (2.079) (7.849)** 'elec ret' AR(I) Rt= 0.00043 + 0.129078 Rt-I (2.738) (7.871)** 'mach ret' mean Rt = 0.000273 (1.794) 'pap ret' mean Rt= 0.000436 (2.757) 'ret ret' mean Rt= 0.000311 (1.757) 241 Table 6.13 (con't) 'ste ret' AR(l) Rt= 0.00038 + 0.083391 Rt-l +Ut; R 2= 0.006954 (2.123) (5.061)** 'trans ret' mean Rt= 0.000448 +Ut (1.753) 'cdax ret' MA(l) Rt= 0.000414 + 0.171193 Ut-l + Ut; R2 = 0.028912 (2.804)** (10.510)** (t-statistic ) •• denotes significance at the 1% level 242 Table 6.14: Results of the ARCH Diagnosis Series Process ARCH Q.{!1l !llilli Conclusion LM{12} ags ret mean 169.42560 51.4480 191.340 reject alb ret mean 17.76458 28.1790 0.201 mixed (cannot reject) ARMA(l,I) 11.53874 8.0935 0.196 cannot reject bha ret AR(2) 448.88080 27.7310 822.380 reject ARMA(I,I) 462.74090 32.5630 844.710 reject bmo ret mean 0.12066 27.2910 0.123 mixed (cannot reject) brc ret AR(I) 1215.89200 124.7500 2757.700 reject bud ret AR(l) 2.09127 18.2910 2.157 cannot reject did ret mean 128.81900 19.9140 93.321 mixed (reject) dwb ret mean 32.24354 38.7020 41.120 reject ebv ret AR(2) 470.49650 26.5840 943.520 reject at 5% e1c ret AR(l) 46.75720 39.9690 81.134 reject ger ret mean 132.11310 14.3200 206.160 mixed, (reject) AR(l) 129.10190 7.7837 200.000 mixed, (reject) hap ret mean 134.02800 19.7130 236.510 mixed, (reject) hor ret mean 68.88009 42.1780 119.030 reject hot ret mean 161.90000 8.4547 164.450 mixed (reject) how ret AR(2) 300.93700 28.9120 296.800 reject ARMA(l,I) 299.82750 35.3840 284.920 reject igi ret AR(l) 149.82640 9.3073 247.920 mixed (reject) kma ret AR(l) 80.78403 13.2860 184.460 mixed (reject) kme ret AR(l) 130.91710 9.5581 200.720 mixed (reject) MA(I) 131.17430 9.4601 201.000 mixed (reject) kpp ret AR(I) 289.63130 23.3050 737.350 reject at 5% kro ret AR(l) 162.49420 9.3520 260.200 mixed (reject) ktr ret AR(l) 62.28777 16.3190 75.756 mixed (reject) lef ret AR(l) 18.45260 12.5210 23.992 cannot reject mas ret mean 375.89080 28.7510 317.210 mixed (reject) mau ret mean 236.51210 58.4920 531.560 reject AR(l) 202.03080 43.5270 420.150 reject mei ret mean 0.06555 33.7610 0.068 mixed (cannot reject) mhk ret mean 121.35260 27.2500 133.680 reject nhb ret AR(2) 49.66559 14.4160 50.041 mixed (reject) ARMA(I,I) 47.45499 7.7700 47.420 mixed (reject) olg ret mean 0.44622 7.7500 0.453 cannot reject opp ret AR(l) 100.24740 12.7690 152.780 mixed (reject) paw ret ARMA(l,I) 187.14200 19.0890 201.900 mixed (reject) pfa ret AR(l) 79.07163 21.8880 53.996 reject at 5% scm ret AR(l) 147.48220 19.6380 174.190 mixed (reject) sis ret AR(2) 196.68700 22.9190 159.040 mixed (reject at 5%) wue ret AR(2) 111.42430 20.7280 167.670 mixed (reject) brew ret ARMA(l,I) 270.16750 45.6210 339.540 reject chern ret AR(l) 254.86430 22.0880 383.650 mixed (reject at 5%) con ret AR(l) 500.76820 45.3490 490.660 reject elec ret AR(l) 608.46190 66.4580 890.680 reject mach ret mean 851.59020 53.7750 657.940 reject pap ret mean 431.21580 28.2260 455.930 reject ret ret mean 916.08460 14.7340 659.010 mixed (reject) ste ret AR(l) 947.13440 31.9130 731.010 reject tran ret mean 731.62910 15.5020 589.770 mixed (reject) cdax ret MA(I) 247.93520 28.8570 328.960 reject 243 Appendix 7: Macros for the Moment Checking Statistics gl (Skewness) and g2 (Kurtosis) 245 Appendix 7 Minitab Macro Program to calculate the skewness gl and the kurtosis g2 statistic (testing for normality) MACRO GI Xl GI MCONSTANT NUM DEN GI MCOLUMNXI LET NUM = SUM((XI - MEAN(XI))**3) LET DEN = (SUM((XI- MEAN(XI))**2))**(3/2) LET GI = (N(XI))**O.5*NUM/DEN ENDMACRO MACRO G2 Xl G2 MCONSTANT NUM DEN G2 MCOLUMNXI LET NUM = SUM((XI - MEAN(XI))**4) LET DEN = (SUM((XI- MEAN(XI))**2))**2 LET G2 = N(XI)*NUM/DEN-3 ENDMACRO 246 Appendix 8: Selected Autocorrelation Functions and Partial Autocorrelation Functions 247 N "'"00 Allgaeuer - Brauhaus AG 1.0 I:: 0 0.8 0.6 -a; 0.4 ...CD 0.2 ... 0.0 I an! -- ,.-- j --;- i =: -:- :,-- :-,- :.-:-:-'~;-:-'! T:- :.0:-;-: ::::Ii: L.; 0 -0.2 U 0 -0.4 -0.6 -:::::s -0.8 <%: -1.0 I I I I I I I 10 20 30 40 50 60 70 Lag Coo LBO 1.119Coo t LBO Lag Corr t LBO 1.119Coo LBO Lag Coo t LBO 1 0.10 2.48 6.16 16 -0.04-1.05 29.98 31 -0.00 -0.02 42.96 46 0.03 0.70 49.62 61 -0.01 -0.29 63.80 2 0.11 2.77 14.00 17 -0.04-0.88 30.86 32 -0.03 -0.76 43.65 47 0.03 0.64 50.13 62 -0.05 -1.27 65.92 3 0.06 1.54 16.48 18 -0.04-1.00 31.98 33 0.04 0.97 44.78 48 0.06 1.54 53.09 63 -0.03 -0.68 66.52 4 0.08 1.96 20.57 19 -0.06-1.39 34.16 34 -0.02 -0.56 45.16 49 0.05 1.25 55.05 64 -0.01 -0.19 66.57 5 0.05 1.1221.91 20 -0.03-0.71 34.73 35 0.02 0.37 45.33 50 -0.00-0.01 55.05 65 -0.04 -0.87 67.57 6 0.02 0.45 22.13 21 -0.06-1.55 37.47 36 -0.01 -0.23 45.39 51 0.04 0.91 56.10 66 -0.04 -0.92 68.71 7 -0.02 -0.41 22.31 22 -0.07-1.78 41.12 37 -0.02 -0.52 45.71 52 0.04 1.04 57.48 67 -0.07 -1.56 71.96 8 -0.04 -0.88 23.14 23 -0.02-0.53 41.44 38 0.02 0.47 45.98 53 0.04 1.05 58.89 68 -0.02 -0.43 72.20 9 -0.01 -0.21 23.19 24 -0.02-0.47 41.69 39 0.01 0.28 46.07 54 0.00 0.07 58.90 69 -0.06-1.48 75.19 10-0.06-1.6025.99 25 0.00 0.03 41.70 40 0.03 0.79 46.84 55 0.06 1.43 61.53 70 -0.06 -1.48 78.20 11 -0.05-1.18 27.53 26 -0.01 -0.32 41.82 41 0.02 0.48 47.12 56 0.02 0.45 61.80 71 -0.07 -1.56 81.56 12 -0.03 -0.77 28.18 27 0.00 0.01 41.82 42 0.02 0.46 47.38 57 -0.02 -0.52 62.15 13 0.02 0.61 28.59 28 -0.03-0.65 42.32 43 0.03 0.72 48.02 58 -0.02-0.39 62.35 14 -0.01 -0.30 28.70 29 0.03 0.73 42.94 44 -0.02 -0.38 48.20 59 0.03 0.81 63.21 15 0.01 0.2028.74 30 -0.01-0.14 42.96 45 0.03 0.82 49.02 60 0.03 0.61 63.69 Allgaeuer Brauhaus AG 1.0 0.8 U. 0.6 U 0.4 < 0.2 0.0 ~:--=~;=i=:--:---:--:---~~:~?S:--:: ca -0.2 '1i::: -0.4 ctS a.. -0.6 -0.8 -1.0 I I I I I I I 10 20 30 40 50 60 70 Lag PAC Lag PAC t Lag PAC Lag PAC Lag PAC t 1 0.10 2.48 16 -0.04 -1.09 31 -0.01 -0.21 46 0.02 0.53 61 -0.01 -0.19 2 0.10 2.58 17 -0.04 -0.97 32 -0.04 -0.98 47 0.02 0.44 62 -0.05 -1.30 3 0.04 1.10 18 -0.04 -0.96 33 0.04 1.03 48 0.05 1.40 63 -0.01 -0.15 4 0.06 1.54 19 -0.05 -1.25 34 -0.03 -0.65 49 0.04 1.03 64 0.01 0.15 5 0.02 0.61 20 -0.01 -0.27 35 0.02 0.41 50 -0.02 -0.54 65 -0.02 -0.43 6 -0.00 -0.09 21 -0.04 -1.13 36 -0.01 -0.29 51 0.03 0.77 66 -0.02 -0.55 7 -0.03 -0.81 22 -0.05 -1.38 37 -0.03 -0.73 52 0.03 0.80 67 -0.03 -0.81 8 -0.04 -1.07 23 0.01 0.31 38 0.01 0.21 53 0.02 0.64 68 0.00 0.02 9 -0.00 -0.08 24 0.00 0.08 39 0.00 0.12 54 -0.02 -0.44 69 -0.04 -0.92 10 -0.06 -1.49 25 0.02 0.47 40 0.02 0.55 55 0.06 1.52 70 -0.03 -0.77 11 -0.03 -0.82 26 -0.01 -0.26 41 0.01 0.37 56 0.01 0.23 71 -0.03 -0.76 12 -0.01 -0.16 27 -0.00 -0.10 42 -0.00 -0.06 57 -0.02 -0.59 13 0.05 1.18 28 -0.04 -0.98 43 0.02 0.53 58 -0.02 -0.48 14 -0.00 -0.04 29 0.02 0.55 44 -0.04 -0.98 59 0.06 1.47 15 0.01 0.33 30 -0.02 -0.39 45 0.03 0.83 60 0.03 0.72 N >I>-\0 N Ul o Brauhaus Amberg AG 1.0 c::: 0 0.8 :; 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. -- -.------.. __. -- --- 0 -0.2 -- (.) 0 -0.4 -0.6 -~ -0.8 < -1.0 4 14 24 34 44 54 64 74 l1Ig Corr l.8Q l1Ig Corr l.8Q l1Ig Corr l.8Q l1Ig Corr l.8Q l1Ig Corr l.8Q 1 0.09 2.73 7.48 16 0.04 1.10 28.86 31 -Q.05 ·1.28 44.08 46 0.08 1.71 64.57 61 0.03 0.74 81.16 2 -Q.05 -l.SS 9.93 17 0.03 0.89 29.71 3! -Q.04 -1.23 45.79 .fT 0.08 1.18 68.41 B2 0.01 0.34 81.~ 3 -Q.Q1 -Q.22 9.98 18 -Q.Q1 -Q.17 29.75 3l -Q.Ol -Q.3! 45.91 48 -Q.OO -Q.OO 68.41 Ell 0.03 0.94 82.42 4 -Q.03 ·1.00 11.01 19 -Q.02 -Q.65 ~21 34 -Q.02 -Q.47 46.16 49 -Q.08 ·1.58 71.47 64 0.08 1.56 85.52 5 0.05 1.35 12.91 a> 0.03 0.89 31.08 35 -Q.04 ·124 47.92 00 -Q.Q1 -Q.17 71.51 65 -Q.03 -Q.68 86.12 6 0.01 0.22 12.96 21 0.05 1.56 33.77 35 -Q.03 -Q.76 48.59 51 0.02 0.54 71.87 65 0.00 0.09 86.13 7 -Q.ll -3.34 24.58 z! -Q.03 -Q.78 34.44 '3T 0.00 0.00 48.59 52 0.01 0.33 72.00 07 0.00 0.08 86.14 8 -Q.OO -Q.12 24.60 23 0.02 0.64 34.89 3! 0.03 0.73 4820 53 0.01 020 72.05 68 0.01 0.18 86.18 9 -Q.Ol -Q.39 24.76 24 0.03 0.84 35.68 39 0.03 0.88 00.11 54 -Q.08 -1.61 7526 69 -Q.02 -Q.63 86.70 10 0.04 1.19 2829 25 0.03 0.81 36.40 40 0.01 029 5021 56 -Q.02 -Q.65 75.79 70 -Q.Q1 -Q26 86.79 11 0.03 0.80 28.97 25 -Q.08 -1.57 39.16 41 0.05 1.36 52.38 56 0.03 0.74 76.47 71 -Q.03 -Q.B2 87.07 12 -Q.02 -Q.49 2723 27 -Q.05 -1.51 41.72 42 0.02 0.65 52.87 57 -Q.OO -Q.03 76.47 72 -Q.07 -1.92 92.46 13 0.01 029 273;. 28 0.00 0.03 41.72 43 -Q.05 -127 54.77 58 0.04 122 18.34 73 -Q.04 -1.03 93.86 14 -Q.OO -Q.13 27.34 29 0.02 0.60 42.12 44 -Q.08 -2.14 60.18 69 -Q.Ol -Q.z! 18.40 74 0.00 0.03 93.86 15 -Q.Ol -Q.43 27.54 ~ -Q.Q1 -Q.27 4221 45 0.03 0.84 61.04 80 -Q.05 -1.27 80.45 Pfaff AG 1.0 0.8 U. 0.6 () 0.4 < 02 s::::r !'-"""T------r- -.,..... --- ...... - =r - -- ca 0.0 -oF=---.- -- _ .d::!:::&• • --::a:::::;•• '. ___ -- &. :e ..Q.2 ca ..Q.4 c.. ..Q.6 ..Q.8 -1.0 I I I I I I I I 4 14 24 34 44 54 64 74 Lag PAC t Lag PAC Lag PAC Lag PAC t Lag PAC t 1 0.09 2.73 16 0.03 0.98 31 -0.04 -1.22 46 0.06 1.65 61 0.01 0.39 2 -0.06 -1.83 17 0.03 1.03 32 -0.02 -0.61 47 0.07 2.11 62 -0.02 -0.58 3 0.00 0.10 18 -0.01 -0.22 33 -0.03 -0.79 48 0.00 0.06 63 0.02 0.71 4 -0.04 -1.11 19 -0.02 -0.61 34 -0.04 -1.07 49 -0.04 -1.30 64 0.06 1.67 5 0.05 1.59 20 0.04 1.25 35 -0.04 -1.27 50 0.00 0.05 65 -0.01 -0.21 6 -0.01 -0.20 21 0.04 1.23 36 -0.01 -0.39 51 0.01 0.25 66 -0.01 -0.21 7 -0.11 -3.27 22 -0.04 -1.19 37 -0.00 -0.06 52 0.02 0.45 67 -0.01 -0.28 8 0.02 0.51 23 0.04 1.22 38 0.01 0.39 53 0.01 0.34 68 0.01 0.37 9 -0.02 -0.73 24 0.03 0.94 39 0.02 0.68 54 -0.04 -1.04 69 -0.04 -1.10 10 0.05 1.34 25 0.03 0.87 40 0.00 0.14 55 -0.01 -0.15 70 -0.00 -0.12 11 0.01 0.24 26 -0.08 -2.23 41 0.04 1.20 56 0.02 0.52 71 -0.03 -0.87 12 -0.01 -0.15 27 -0.03 -0.89 42 0.01 0.41 57 -0.02 -0.52 72 -0.06 -1.83 13 0.01 0.42 28 0.02 0.45 43 -0.04 -1.10 58 0.04 1.03 73 -0.01 -0.33 14 -0.02 -0.51 29 0.01 0.26 44 -0.07 -2.15 59 -0.01 -0.35 74 0.00 0.04 ~ 15 -0.01 -0.35 30 -0.01 -0.42 45 0.05 1.37 60 -0.03 -0.76 N 0\ 01 N 0\ 0\ Schumag AG 1.0 s::: 0 0.8 0.6 CiS 0.4 Q) a- 0.2 a- 0.0 11::1:=- a :c:::!I- 5iE!.- II!II::'::= E' :=1:1-. -= --- --~ ~-~ ------....wo! -- 0 ------,=------,- (.) -0.2 0 -0.4 -0.6 :::;, -<:: -0.8 -1.0 I I I I I I I I I 5 15 25 35 45 55 65 75 85 lBg Corr LBQ lBg Corr LBQ lBg Corr LBQ lBg Corr LBQ lBg Corr LBQ 1 0.10 4.51 20ZT 16 0,02 0.96 SO.59 31 ~.03·1.19 74.71 46 0.00 0.08 101.75 61 0.06 2.45 11822 2 0.06 2.54 26.97 17 0.Q1 OZl SO.67 32 0,03 121 76.32 Q 0.03 1.12 103.19 62 ~.02~.79 118.95 3 0.02 0.98 27.96 18 0.05 2.19 55.80 3l 0.03 1.17 n.84 48 0.00 0.07 103.19 63 0.04 1.47 121.48 4 0.Q1 0.30 28.06 19 0.02 0.94 58.75 34 ~.01~.35 n.96 48 0.01 021 10324 64 ~.01~.46 121.73 5 ~.01~.53 28.35 20 0.02 0.80 57.44 35 0.04 1.68 81.10 50 0.01 0,31 103.35 ffi ~.02~.92 122.73 6 ~.02 -1.00 29.38 21 0.Q1 0.36 57.58 35 ~.02~,80 81.81 51 ~.02~.71 103.93 66 0.Q1 0.44 122.96 7 0.02 0.71 29.90 22 0.01 025 57.65 37 ~.01~.42 82.00 51 ~.02~.91 104.89 67 0.02 0.66 123.47 8 ~.06-2.40 35.90 23 0.03 1.42 59.82 35 0.02 0.81 82.73 53 ~.03-1.17 106.45 68 0.04 1.54 12624 9 ~.01~.3O 35.99 34 0.03 128 61.EjO 35 0.04 1.51 8526 54 ~.02~.63 l06SO Ell ~.01~.43 126.46 10 ~.03-1.37 37.95 25 0.03 lZl 63.35 <10 0.00 020 85.30 55 ~.04-1.82 110,70 JO 0.Q1 028 126.55 11 ~.03-124 39.55 26 0.02 0.73 63.92 41 ~.01~.32 85.41 55 ~.OO ~.18110.73 71 ~.03·1.36 128.73 12 ~.04-1.79 42.91 27 ~.04-1.64 66.86 42 0.02 0.83 86.19 51 ~.01~.53 11 H15 72 ~,03·1.02 129.97 13 0.04 1.n 4621 28 0.02 0.96 67.87 43 0.05 1.87 90.09 58 0,01 025 111.13 73 ~.03·1.30 131.98 14 0.01 029 46.30 29 ~.01~.34 68.00 44 0.07 3-06 100.60 59 ~.01~.3O 11123 74 ~.01~.SO 13228 15 0.04 1.n 49.61 30 ~.05-2.18 13.17 45 0.02 1.00 101.74 60 ~.OO ~.2011128 75 ~,02 ~.93133.31 Schumag AG 1.0 0.8 LJ.. 0.6 () 0.4 l.aJ PAC l.aJ PAC l.aJ PAC l.aJ PAC l.aJ PAC 1 0.10 4.51 16 0.01 0.34 31 -0.02 -0.80 46 -0.01 -0.80 61 0.05 2Z7 2 0.05 2.12 17 -0.00 -0.09 32 0.04 1.75 47 0.03 1.14 62 -0.04 -1.57 3 0.Q1 0.53 18 0.05 2.04 33 0.02 1.06 48 -0.01 -0.33 63 0.02 0.94 4 0.00 0.03 19 0.Q1 0.58 34 -0.01 -0.50 49 0.01 0.42 64 -0.02 -0.85 -0.02 -0.66 aJ 0.00 0.17 35 0.04 1.60 50 0.Q1 0.44 65 -0.03 -1.31 -0.02 -0.94 21 0.Q1 0.40 35 -0.03 -1.27 51 -0.02 -0.92 65 0.02 0.86 7 0.02 0.99 22 -0.00 -0.09 '3l -0.01 -0.50 52 -0.01 -0.62 67 0.00 0.10 -0.06 -2.52 23 0.04 1.66 38 0.02 0.66 53 -0.02 -0.93 68 0.03 122 0.00 0.14 24 0.03 124 38 0.02 1.03 54 -0.00 -0.02 00 -0.01 -025 10 -0.03 -1.17 25 0.03 1.13 40 0.00 0.Q1 65 -0.03 -1.13 70 0.00 0.09 11 -0.02 -0.96 a> 0.Q1 0.61 41 -0.02 -0.86 56 0.00 0.10 71 -0.03 -1.24 12 -0.03 ·1.47 'Zl -0.04 -1.82 42 0.01 0.59 57 -0.03 -1.08 72 -0.02 -0.86 13 0.05 2.32 a> 0.03 1.33 43 0.05 222 56 0.00 0.02 73 -0.02 -0.67 14 -0.00 -0.03 29 -0.01 -0.25 44 0.07 2.92 59 -0.01 -0.41 74 0.00 0.Q7 15 0.04 1.76 30 -0.05 -2.15 45 0.01 0.55 60 -0.01 -0.62 75 -0.01 -0.51 N 0\ '-l N 0\ 00 COAXBrewery Index 1.0 I:: 0 0.8 0.6 ca 0.4 CD.... 0.2 l .... 0.0 ..... - -- •. -...... , ...... -...... -...!IIWIPO" 0 -0.2 (,) 0 -0.4 -0.6 -::::I -0.8 < -1.0 I I I I I 20 40 60 80 100 Lag Corr LBO Lag Corr LBO Lag Corr LBO Lag Corr LBO Lag Corr LBO 1 0.06 3.42 11.71 16 0.03 1.76 102.15 31 0.02 129 119.17 46 -0.02 -1.37 142.76 61 -0.02 -1.32 159.64 2 0.12 6.95 60.35 17 0.00 0.09 102.16 32 0.01 0.49 119.43 1.0 0.8 L.I... 0.6 () 0.4 0.2 IIIIL...... _ ...... « i..&.- ___!" ___ __ ...... - ...... _._ 0.0 - ~ -.-- ~ ~~- ce -0.2 1:::: -0.4 ctl a.. -0.6 -0.8 -1.0 I I I I I 20 40 60 80 100 Lag PAC Lag PAC Lag PAC la;l PAC Lag PAC 0.06 3.42 16 0.03 1.54 31 0.02 1.04 46 -0.02 -1.45 61 -0.02 -1.34 0.11 6.80 17 -0.00 -0.07 32 0.01 0.45 47 -0.01 -0.79 62 0.04 2.40 3 O.OS 3.01 18 -0.01 -0.34 33 -0.00 -0.27 48 0.03 1.64 63 0.02 1.41 4 0.00 0.16 19 -0.01 -0.80 34 0.01 0.31 48 -0.03 -1.74 64 -0.01 -0.78 5 -0.02 -1.48 2J -0.02 -0.98 :E -0.02 -0.99 50 -0.02 -1.01 ffi 0.01 0.69 6 -0.02 -1.10 21 -0.02 -1.22 :E 0.02 1.22 51 -0.03 -1.90 66 -0.02 -1.16 7 -0.02 -1.47 22 -0.01 -0.35 37 0.00 0.02 52 0.00 0.19 67 -0.03 -1.80 -0.01 -0.80 23 -0.00 -0.14 38 0.04 2.39 53 0.00 0.06 66 0.01 0.47 -0.00 -0.11 24 -0.00 -0.22 39 -0.01 -0.44 54 0.02 1.40 00 -0.01 -0.65 10 O.OS 3.00 25 0.Q1 0.71 40 -0.02 -1.40 55 0.00 024 70 0.00 0.04 11 -0.01 -0.35 26 -0.00 -0.21 41 -0.00 -0.07 55 -0.02 -1.22 71 0.01 0.31 12 0.04 2.43 27 0.00 0.09 42 -0.05 -2.93 57 -0.02 -0.95 72 0.01 0.73 13 0.00 026 28 -0.01 -0.85 43 -0.00 -0.26 58 0.01 0.53 73 -0.03 -1.87 14 0.01 0.33 29 O.OS 2.83 44 -0.00 -0.04 59 0.Q1 0.58 74 0.00 0.16 15 0.Q1 0.31 :D -0.02 -1.24 45 0.04 226 60 -0.01 -0.33 75 0.01 0.69 N 0\ \0 IV o'-1 C-Dax Chemical Index 1.0 C 0 0.8 0.6 =a 0.4 (I) 0.2 .. 0.0 0 -0.2 (.) 0 -0.4 -0.6 -0.8 -~ -1.0 I I I I I 20 40 60 80 100 Lag Corr l.8Q Lag Corr I l.8Q Lag Corr l.8Q Lag Corr l.8Q Lag Corr l.8Q 1 0.09 5.41 2924 16 0.03 1.85 55.13 31 -0.01 -0.63 62.68 46 -0.01 -0.71 80.29 61 0.03 1.81 97.65 2 -0.01 -0.85 29.98 17 0.Q1 0.58 55.48 32 0.01 0.53 62.98 .f1 0.03 1.79 83.70 62 -O.Q1 -0.79 98.32 3 -0.01 -0.65 30.42 18 -0.03 -1.52 57.68 33 0.01 o.n 63.60 48 0.02 0.92 84.60 63 0.02 1.13 99.69 4 0.03 1.88 34.02 19 -0.02 -0.95 58.82 34 0.Q1 0.50 63.86 49 0.00 0.17 84.63 64 0.01 0.45 99.91 5 -0.03 -1.69 36.92 aJ -0.00 -021 58.87 ::fj 0.03 1.70 66.87 Sl 0.00 020 84.68 En -0.01 -0.35 100.03 6 -0.04 -2.15 41.63 21 0.01 0.33 58.98 ::fj -0.01 -0.87 67.66 51 0.03 1.63 87.51 68 -0.03 -1.73 10324 7 0.02 0.98 42.63 22 0.Q1 0.31 59.08 :IT -0.02 -1.06 68.83 52 -0.02 -1.28 8924 87 0.Q1 0.86 104.03 8 -O.Q1 -0.75 4320 Zl 0.00 0.13 59.10 36 0.00 026 68.91 53 -0.01 -0.76 89.86 68 -O.Q1 -0.53 104.33 9 0.01 0.47 43.43 24 -0.01 -0.80 59.n 36 -0.00 -0.05 68.91 54 0.00 025 89.93 89 -0.04 -2.18 109.46 10 0.02 126 45.05 :l5 -0.00 -0.21 59.81 40 -0.02 -1.43 71.05 55 0.01 0.31 90.03 70 -0.01 -0.31 109.56 11 0.03 1.52 47.41 26 0.00 025 59.88 41 -0.01 -0.37 7120 56 -0.02 -1.32 91.90 71 0.Q1 0.68 110.06 12 0.03 1.68 50.32 Zl -0.00 -0.07 59.88 42 0.04 2.08 75.75 57 -O.Q1 -0.76 92.52 72 0.02 1.40 112.19 13 0.02 1.04 51.44 26 -O.Q1 -0.42 60.07 43 0.01 0.73 76.32 58 0.02 0.94 93.45 73 -0.01 -0.46 112.43 14 -0.00 -0.13 51.46 29 0.01 0.55 60.39 44 -0.03 -1.n 79.62 59 -O.Q1 -0.44 93.66 74 0.03 1.55 115.02 15 -O.Q1 -0.37 51.59 30 -0.02 -1.34 6227 45 0.01 0.36 79.76 00 0.01 0.67 94.14 75 -O.Q1 -0.36 115.16 C-Dax Chemical Index 1.0 0.8 U. 0.6 () 0.4 « 0.2 ca 0.0 :e - Lag PAC Lag PAC Lag PAC Lag PAC Lag PAC 1 0.09 5.41 16 0.03 1.98 31 -0.00 -0.22 46 -0.02 -1.09 61 0.03 1.67 2 -0.02 -1.35 17 0.01 0.31 32 0.01 0.56 47 0.04 2.18 62 -0.02 -1.30 3 -0.01 -0.46 18 -0.02 ·1.43 33 0.Q1 0.48 48 0.01 0.80 63 0.02 1.50 4 0.03 2.00 19 -o.Q1 -0.61 34 0.01 0.62 48 -0.00 -0.15 64 0.00 0.00 5 -0.03 -2.10 3l -0.01 -0.32 :J; 0.03 1.80 50 0.01 0.34 65 -0.01 -0.38 6 -0.03 -1.78 21 0.01 0.33 36 -0.02 ·1.35 51 0.03 1.56 66 -0.02 -121 7 0.02 1.35 22 0.01 0.40 37 -0.01 -0.79 52 -0.03 -1.67 67 0.02 1.01 8 -0.02 -1.17 Z3 -0.00 -0.12 36 0.01 0.45 53 -0.00 -0.05 68 -0.01 -0.87 9 0.Q1 o.n 24 -0.02 -0.97 36 -0.00 -027 54 0.00 0.17 68 -0.03 -1.75 10 0.02 126 25 -0.00 -0.11 40 -0.02 ·1.12 55 0.00 0.02 70 -0.00 -0.08 11 0.02 1.11 26 0.00 0.15 41 0.00 0.08 55 -0.02 -1.06 71 0.01 0.40 12 0.03 1.61 2J -0.00 -0.17 42 0.03 1.90 57 -0.01 -0.43 72 0.02 1.43 13 0.Q1 0.83 2B -o.Q1 -0.38 43 0.01 0.38 58 0.01 0.56 7J -0.01 -0.44 14 -0.01 -0.36 2B 0.01 0.62 44 -0.03 -1.83 59 -o.Q1 -0.75 74 0.02 129 15 -0.00 -0.19 30 -0.02 -1.48 45 0.Q1 0.50 80 0.02 0.93 75 -0.01 -0.67 N ...... 'I tv tv'I C-Oax Construction Index t: 1.0 0 0.8 0.6 ca 0.4 as 0.2 ... 0.0 0 -0.2 (.) 0 -0.4 -0.6 :::I - -0.8 < -1.0 I I I I I 20 40 60 80 100 llIg Corr l.BQ llIg Corr l.BQ llIg Corr l.BQ llIg Corr l.BQ llIg Corr l.BQ 1 0.13 7.79 60.68 16 0.01 0.56 128.60 31 .Q.02 -1.09 143.89 46 .Q.OO .Q.05 16429 61 0.03 1.90 100.87 2 0.06 3.79 75.45 17 0.03 1.52 131.10 32 0.02 123 145.55 Q 0.02 121 165.90 52 0.02 1.14 182.31 3 0.05 3.12 65.59 18 .Q.01 .Q.57 131.45 33 0.02 121 147.16 48 0.02 1.16 167.38 63 0.00 0.16 182.34 4 0.06 3.81 100.79 19 .Q.02 -1.35 133.42 34 0.02 1.37 14920 49 .Q.OO .Q.06 167.38 64 0.01 0.32 182.46 5 0.03 2.03 105.15 20 0.00 027 133.50 3; 0.00 0.15 14923 50 .Q.OO .Q.25 167.46 !Xi 0.02 1.06 183.71 6 .Q.02 -1.11 106.45 21 0.03 1.70 13;.60 3; .Q.OO .Q.01 14923 51 0.01 0.49 167.73 !Xi 0.01 0.47 183.98 7 0.03 1.56 109.04 22 0.03 1.52 139.10 37 .Q.01 .Q.58 149.60 52 0.00 027 167.81 67 0.01 0.70 184.51 8 .Q.01 .Q.73 109.61 23 0.00 0.10 139.11 38 0.00 0.17 149.63 53 0.01 0.39 167.98 68 0.01 0.37 184.66 0.03 1.91 113.49 24 .Q.OO .Q.28 13920 39 .Q.OO .Q.09 149.63 54 0.03 1.56 170.68 til .Q.01 .Q.69 165.19 10 0.03 1.93 117.47 25 0.00 0.17 13923 40 .Q.06 -3.33 161.76 55 0.01 0.65 171.48 70 .Q.02 .Q.99 19629 11 0.04 2.30 123.13 26 0.00 0.01 13923 41 .Q.02 -1.18 163.30 56 0.00 0.07 171.49 71 .Q.01 .Q.45 198.52 12 0.03 1.60 125.96 27 0.Q1 0.31 139.33 42 .Q.01 .Q.60 163.69 57 0.01 0.41 171.68 72 -0.00 .Q.20 196.56 13 0.02 1.40 127.97 28 0.02 1.12 140.69 43 0.00 028 163.n 58 0.03 1.89 175.65 73 .Q.02 .Q.98 187.43 14 .Q.01 .Q.42 128.17 29 0.02 1.33 142.60 44 .Q.OO .Q24 163.83 59 0.01 o.n 176.31 74 -0.05 -2.71 195.72 15 .Q.01 .Q.31 128.27 30 0.00 0.07 142.61 45 0.01 0.64 16429 00 0.01 0.69 176.64 75 .Q.02 -1.26 197.51 C-Oax Construction Index 1.0 0.8 LJ.. 0.6 U 0.4 < 0.2 l ca 0.0 L -0.2 1:::: -0.4 ctS Q.. -0.6 -0.8 -1.0 I I I I I 20 40 60 80 100 Lag PAC Lag PAC Lag PAC Lag PAC Lag PAC 1 0.13 7.79 16 0.01 0.43 31 -0.02 ·1.40 46 -0.01 -0.38 61 0.03 1.75 2 0.05 2.89 17 0.03 1.55 32 0.02 122 ~ 0.03 1.54 61 0.Q1 0.57 3 0.04 2.38 18 -0.02 -0.95 33 0.01 0.76 48 0.02 0.93 63 -0.01 -0.42 4 0.05 3.10 19 -0.02 ·1.34 34 0.02 1.09 48 -0.01 -0.48 64 -0.00 -0.12 5 0.02 0.99 aJ 0.01 0.30 35 -0.00 -0.04 9J -0.01 -0.45 55 0.Q1 0.65 6 -0.03 ·2.01 21 0.03 1.61 35 -0.00 -0.18 51 0.Q1 0.74 55 0.00 0.15 7 0.03 1.58 22 0.02 1.11 37 -0.02 ·1.01 52 0.00 0.30 67 0.01 0.55 8 -0.02 ·1.32 23 -0.00 -0.23 :E 0.00 0.03 53 0.01 0.69 68 0.00 0.00 9 0.03 2.07 24 -0.01 -0.63 :E -0.01 -0.32 54 0.02 1.34 89 -0.02 -0.99 10 0.03 1.68 25 0.00 0.03 40 -0.05 ·3.29 55 0.00 0.18 70 -0.02 ·1.18 11 0.03 1.80 35 -0.00 -0.22 41 -0.01 -0.36 55 -0.01 -0.48 71 -0.01 -0.57 12 0.01 0.85 27 0.01 0.34 42 -0.00 -0.13 57 0.01 0.31 72 -0.00 -0.01 13 0.Q1 0.78 28 0.02 121 43 0.01 0.53 58 0.03 1.58 73 -0.01 -0.56 14 -0.02 ·1.42 201 0.02 1.17 44 0.00 0.Q1 59 0.00 0.16 74 -0.04 ·2.60 15 -0.01 -0.48 3J -0.01 -0.36 45 0.Q1 0.68 60 0.01 0.39 7S -0.01 -0.82 tv '-l W 'lN "'" C-Dax Electrical Index 1.0 s:: 0 O.B 0.6 CiS 0.4 Q) 0.2 1 L ... 0.0 0 -0.2 (.) 0 -0.4 -0.6 -:::I -0.8 « -1.0 I I I I I 20 40 60 80 100 UIg Corr I LBO UIg Corr I LBO UIg Corr I LBO UIg Corr I LBO UIg Corr I LBO 1 0.13 7.81 61.a1 16 0.04 221 124.63 31 .o.a1 ·1.11 135.43 46 .o.oo .o.08 159.34 61 0.03 1.48 168.70 2 .o.04 -2.57 67.84 17 0.03 1.67 128.39 32 0.00 024 135.50 if] 0.01 0.65 159.81 62 0.01 0.30 168.81 3 0.05 2.99 77.10 18 .o.03 ·1.47 130.72 33 .o.a1 -120 137.05 48 0.01 0.48 160.05 63 0.00 0.17 168.84 4 0.05 3.55 9025 19 .o.a1 ·1.03 131.87 34 .o.01 .o29 137.15 49 0.01 0.69 160.58 64 .o.01 .o.46 169.08 5 .o.05 ·2.82 98.62 3) .o.oo .o.21 131.91 35 0.03 1.46 139A7 &l 0.01 0.45 160.80 ffi .o.oo .o22 169.13 6 .o.02 .o.95 99.57 21 0.01 0.58 13227 36 .o.01 .o.35 139.60 51 0.03 1.47 163.18 ffi .o.Q1 .o.79 169.83 7 0.04 2.47 106.03 22 0.01 0.32 13238 37 .o.01 .o.78 14026 52 0.01 0.66 163.66 67 0.03 1.50 172.36 8 0.03 1.96 110.09 Z3 .o.01 .o.38 13254 38 0.a1 0.99 141.32 63 .o.oo .o22 163.71 6B .o.Q1 .o.35 172.48 9 .o.oo .o.19 110.13 24 .o.oo .o.10 13255 38 .o.03 ·1.78 144.76 54 0.01 0.72 164.28 59 .o.01 .o.67 172.99 10 0.Q1 0.54 110.44 25 .o.a1 -1.13 133.92 40 .o.04 ·2.08 149.50 55 0.01 0.70 164.82 70 0.01 0.63 173.30 11 0.04 2.13 11527 26 0.00 021 133.97 41 0.00 022 149.55 9) .o.Q1 .o.39 164.96 71 0.00 026 173.38 12 0.01 0.73 115.84 27 .o.oo .o.15 133.99 42 0.02 1.43 151.79 '57 .o.Q1 .o.87 165.82 72 0.Q1 0.33 173.&> 13 0.a1 1.45 118.07 28 0.00 0.05 133.99 43 .o.03 -1.72 155.a1 58 0.Q1 0.58 166.18 73 0.00 023 173.56 14 0.a1 0.98 119.11 29 0.00 0.05 134.00 44 .o.03 -1.76 158.43 59 0.01 0.31 16629 74 0.00 0.16 173.58 15 0.01 0.52 119.40 30 .o.01 .o.31 134.10 45 0.02 0.91 159.34 00 .o.oo .o.02 16629 75 .o.oo .o22 173.64 C-Dax Electrical Index 1.0 0.8 LJ.. 0.6 () 0.4 <:: 0.2 I L..... __ • ___ • ___ ...... ""___ • ___ ...... ____...... Cij 0.0 -0.2 - 1:: ctS -0.4 0.. -0.6 -0.8 -1.0 I I I I I 20 40 60 80 100 Lag PAC Lag PAC Lag PAC Lag PAC Lag PAC 1 0.13 7.81 16 0.04 229 31 -0.02 -0.91 46 -0.01 -0.38 61 0.02 1.45 2 -0.06 -3.68 17 0.02 121 32 0.01 0.53 47 0.03 1.78 62 -0.01 -0.67 3 0.07 3.95 18 -0.03 -1.86 33 -0.03 -1.54 48 0.00 0.09 63 0.00 0.19 4 0.04 2.57 19 -0.01 -0.74 34 0.01 0.35 49 0.00 0.30 64 -0.02 -1.00 5 -0.06 -3.46 2l -O.Q1 -0.64 3) 0.03 1.64 fIJ 0.01 0.62 ED -0.00 -0.15 6 0.00 0.08 21 0.01 0.71 3l -0.01 -0.74 51 0.02 1.49 ED -0.01 -0.76 7 0.03 2.04 22 0.01 O.fIJ ~ -0.01 -0.38 52 0.01 0.35 67 0.03 1.74 8 0.03 1.52 23 -0.01 -0.68 3! 0.02 0.96 53 -0.00 -0.11 68 -0.02 -1.07 9 -0.00 -0.04 34 -O.Q1 -0.42 3! -0.04 -2.35 54 0.Q1 0.83 68 -0.01 -0.37 10 0.01 0.45 25 -0.02 ·1.40 40 -0.02 -1.09 55 0.Q1 0.39 70 0.01 O.fIJ 11 0.03 1.61 a3 0.01 0.71 41 0.01 0.66 56 -0.00 -0.22 71 -0.00 -021 12 0.Q1 0.35 27 -0.01 -0.42 42 0.02 121 57 -0.01 -0.73 72 0.01 0.73 13 0.03 1.78 a3 0.00 0.11 43 -0.03 -1.87 56 0.00 0.16 73 0.00 0.12 14 0.01 0.34 23 -0.00 -0.00 44 -0.02 -1.07 58 0.00 0.02 74 -0.00 -0.03 15 0.00 0.19 3J -O.Q1 -0.54 45 0.Q1 0.76 60 0.Q1 0.45 75 -0.00 -0.23 N'1 U1 IV '-l 0\ COAX Index c: 1.0 o 0.8 0.6 ca 0.4 (l) 0.2 ... 0.0 I L o -0.2 (.) o -0.4 -0.6 ::s - -0.8 < -1.0 I I I I I 20 40 60 80 100 Lag Corr LBO Lag Corr LBO Lag Corr LBO Lag Corr LBO Lag Corr LBO 0..17 10.23 104.74 16 0..05 2.94 151.65 31 -0.01 -0.76 17026 46 0..0.1 0..65 191.31 61 0..04 2.45 213.31 0..0.1 0..69 10523 17 0..03 1.47 154.02 ~ 0..03 1.69 173.42 47 0..03 1.86 195.17 62 -0.00 -0.16 213.34 3 0..02 1.40 10.7.30 18 -0.03 -1.60 156.80 33 -0.0.1 -0.84 174.20 48 -0.00 -0.18 19521 63 0..0.1 0..86 213.63 4 0..05 2.70. 115.03 19 -0.02 -1.14 15823 34 0..0.1 C.~ 174.31 49 -0.01 -0.82 195.97 64 0..02 1.0.7 215.12 5 -0.0.1 -0.74 115.61 20 -0.02 -1.28 160.03 J'i 0..03 1.81 177.94 50 -0.0.1 -0.42 196.16 65 -0.0.1 -0.36 21527 0..00 0..00 115.61 21 0..03 1.48 162.43 J'i -0.0.1 -0.56 178.30 51 0..03 1.90 20022 66 -0.02 -1.30 217.20 0..05 2.90 124.58 22 0..01 0..63 162.87 :J1 -0.0.1 -0.57 178.86 52 -0.0.2 -0.97 20127 67 0..02 1.08 218.54 0..02 0..88 125.42 23 0..03 1.68 165.97 :E 0..02 0..98 179.74 53 0..00 0..10 20128 68 -0.00 -0.17 218.58 0..02 0..97 126.43 24 -0.02 -1.0.5 167.19 :E -0.0.1 -0.53 180.04 54 0..02 0..95 20230 68 -0.0.2 -1.15 220.08 10. 0..03 1.82 130.00 25 -0.0.1 -0.60 167.59 40 -0.03 -1.51 182.59 55 -0.0.1 -0.62 20274 70 0..00 0.24220.15 11 0..05 2.77 1:E27 26 -0.00 -0.20 167.63 41 -0.02 -1.31 164.49 56 -0.03 -1.44 205.09 71 0..01 0..77 220.83 12 0..02 1.02 139.39 27 -0.0.1 -0.71 168.18 42 0..03 1.82 188.18 57 -0.0.2 -0.90 206.0.1 ?2 -0.00 -0.08 220.83 13 0..03 1.82 14224 28 -0.0.1 -0..41 168.37 43 0..0.1 0..30 18828 58 0..01 0..56 206.36 73 -0.0.1 -0.54 221.17 14 0..00 0..17 14227 29 -0.00 -0.22 168.42 44 -0.03 -1.45 190.84 !iJ -0.00 -0.09 206.37 74 0..02 0..89 222.0.7 15 0..00 0..19 142.31 30 -0.02 -1.0.5 169.63 45 0..0.1 0..43 190.84 00 0..0.1 0..35 206.51 7S -0.0.1 -0.32 222.18 COAXIndex 1.0 0.8 u.. () 0.6 < 0.4 ~:~1l...... __ WI ___ • -...... ----...... ------...... - Ci3 -0.2 t -0.4 C'CS c.. -0.6 -0.8 -1.0 I I I I I 20 40 60 80 100 Lag PAC Lag PAC Lag PAC Lag PAC Lag PAC 1 0.17 1023 16 0.05 3.04 31 -0.00 -0.06 46 0.01 0.32 61 0.04 2.43 2 -0.02 -1.05 17 0.00 0.28 32 0.03 1.74 47 0.04 229 62 -0.02 -0.92 3 0.03 1.54 18 -0.04 -2.19 33 -0.03 -1.64 46 -0.02 -0.98 63 0.01 0.84 4 0.04 2.35 19 -0.01 -0.75 34 0.02 0.99 49 -0.02 -1.00 84 0.01 0.53 5 -0.03 -1.68 aJ -0.03 -1.62 :'6 0.03 2.01 50 0.00 0.00 65 -0.01 -0.49 6 0.01 0.43 21 0.03 2.09 :'6 -0.02 -1.31 51 0.03 2_00 65 -0.01 -0.85 0.05 2.90 22 0.00 0.16 37 -0.00 -0.02 52 -0.02 -1.47 67 0.02 1.35 -0.00 -0.17 23 0.02 1.35 :E 0.02 1.01 53 0.01 0.65 68 -0.02 -0.99 0.02 1.05 34 -0.03 -1.91 39 -0.02 -1.33 54 0.01 0.65 ffi -0.01 -0.82 10 0.02 1.47 2; -0.00 -0.25 40 -0.01 -0.79 55 -0.02 -1.27 70 0.00 0.24 11 0.03 2.11 26 -0.00 -0.18 41 -0.01 -0.64 56 -0.01 -0.86 71 0.01 0.72 12 0.01 0.31 27 -0.01 -0.85 42 0.03 1.98 57 -0.01 -0.57 72 -0.00 -0.23 13 0.02 1.43 26 -0.00 -0.12 43 -0.00 -0.13 58 0.00 0.11 73 -0.00 -0.20 14 -0.01 -0.68 29 -0.00 -0.13 44 -0.03 -1.55 59 -0.00 -0.04 74 0.01 0.38 15 0.00 0.11 3) -0.02 -1.14 45 0.01 0.69 00 0.01 0.68 75 -0.01 -0.50 N'1 '1 Appendix 9: Results of the Runs Test 279 N 00 o TableA9: Runs Test Results name Variable mean # of n1..C±ln28 ~ ~ Variance lowerlimjt upper limit null ~ !l!!!U! IlIIlW£IU ~ ~ hypothesis I Allgiiuer Brauhaus AG alb ret 0.000116 653 44 609 63 83.0704441 10.2047352 74.84464491 91.2962433 reject 2 Allgemeine Gold- und Silbersd ags ret 0.0003809 1512 104 1408 162 194.6931217 24.70108026 181.895325 207.4909184 reject 3 Brauhaus Amberg AG bha ret 0.0000551 2811 328 2483 382 580.4549982 119.2842135 552.3315403 608.5784562 reject 4 Buderus AG bud ret -0.000095477 873 550 323 345 407.9873998 189.4859589 372.5415208 443.4332787 reject 5 Didier Werke AG did ret 0.000012212 1654 711 943 793 811.7291415 397.139148 760.4136393 863.0446436 [email protected] 6 DUEW AG AG wue ret 0.0007601 1726 440 1286 499 656.6662804 248.8362928 616.0468252 697.2857357 reject 7 Eschenweiler Bergverein AG ebv ret 0.00079293 2109 300 1809 367 515.6514936 125.4039414 486.815639 544.4873482 reject 8 Gerresheimer Glas AG ger ret 0.00049653 2695 1156 1539 1237 1321.284972 646.559808 1255.809056 1386.760889 reject 9 Hochtief AG hot ret 0.00025139 1629 741 888 761 808.8674033 400.3942715 757.3420283 860.3927783 reject 10 Hofbrauhau, Wolters AG how ret 0.0002774 2686 542 2144 585 866.2628444 278.5156525 823.2892147 909.2364741 reject II KM Europa Metal AG kIDeret -0.00002963 1563 844 719 809 777.5015995 385.5174343 726.9425099 828.0606891 [email protected] 12 KoeppAG kpp ret 0.00038173 2770 571 2199 630 907.5913357 296.4973849 863.2521547 951.9305167 reject 13 KromschrOder AG kro ret 0.00072625 2975 929 2046 1125 1278.80437 548.5898463 1218.492733 1339.116007 reject 14 Nehelhombahn AG nhb ret -0.00014695 859 734 125 147 214.6204889 52.9371711 195.8853207 233.3556572 reject 15 Oppermann Versand AG opp ret -0.00036805 1772 1047 725 804 857.7437923 413.9769519 805.3517516 910.135833 reject 16 Papierfabrik Wei8enstein AG paw ret 0.00029759 1944 474 1470 595 717.8518519 264.1069098 676.0045834 759.6991203 reject 17 Pfaff AG pfa ret -0.00023983 870 474 396 409 432.5034483 213.7672295 394.8549379 470.1519587 [email protected] I C-Dax Brewery Index brew 0.0004079 3660 1731 1929 1700 1825.644262 909.4020333 1747.991807 1903.296718 reject 2 C-Dax Chemicals Index chern 0.0004421 3660 1839 1821 1658 1830.955738 914.7056699 1753.077177 1908.834299 reject 3 C-Dax Construction Index con 0.0003831 3660 1802 1858 1571 1830.571585 914.3215665 1752.709377 1908.433793 reject 4 C-Dax Electrical, Index elec 0.00048982 3660 1876 1784 1592 1829.843716 913.5940129 1752.012493 1907.674939 reject 5 C-Dax Machinery Index mach 0.00027284 3660 1848 1812 1486 1830.822951 914.5728911 1752.950042 1908.695859 reject 6 C-Dax Paper Index pap 0.00043605 3660 1783 1877 1721 1829.792896 913.5432261 1751.963836 1907.621956 reject 7 C-Dax Retail Index ret 0.00031132 3660 1836 1824 1574 1830.980328 914.7302596 1753.10072 1908.859936 reject 8 C-Dax Steel Index ,te 0.0004127 3660 1811 1849 1594 1830.802732 914.5526746 1752.930684 1908.67478 reject 9 C-Dax Transportation Index Iran 0.00044789 3660 1777 1883 1676 1829.465027 913.2156029 1751.649925 1907.28013 reject 10 C-Dax Index cdax 0.0004138 3660 1864 1796 1524 1830.368306 914.1183467 1752.514751 1908.221861 reject Appendix 10: Macro for the Levene Test 281 Appendix 10 Minitab Macro Program for the Levene Test (testing for homoskedasticity of many populations) MACRO LEVENE X.1-X.Z RES MCONSTANT Z RES K MMO.1-MMO.Z TS CM SSB SSW MSB MSW MCOLUMN X.1-X.Z MD.1-MO.Z LET RES = 0 LETK=Z ooZ=l:Z LET MO.Z = ABSOLUTE(X.z - MEAN(X.Z)) ENOoo ooZ=l:Z LET MMO.Z = SUM(MO.z/COUNT(MO.Z)) ENOOO LETTS=O OOZ= l:Z LET TS = TS + COUNT(MO.z) ENDoo LETCM=O OOZ= l:Z LET CM = CM + SUM(MO.Z) ENOoo LETCM=CM / TS LETSSB = 0 ooZ= l:Z LET SSB = SSB + COUNT(MO.z)*(MMD.Z - CM)*><2 ENDoo LET SSW =0 OOZ= l:Z LET SSW = SSW + SUM«MO.Z - MMO.Z)**2) ENOoo LET MSB = SSB / (K - 1) LET MSW = SSW / (TS - K) LET RES = MSB / MSW ENOMACRO 282 Appendix 11: Macro for the Walsh Procedure of Outliers' Detection 283 Appendix 11 Minitab Macro Program for the Walsh procedure (testing for outliers) MACRO WALSH X 0 C K A WSMALL WLARGE MCONSTANT 0 C K A WSMALL WLARGE ALPHA B2 B NUM DEN T MCOLUMN X XSORT LET ALPHA = 0.05 LETC = 0 LETK=O LET A=O LET WSMALL = 0 LET WLARGE = 0 SORT X XSORT LET C = ROUND(SQRT(2*N(X»-0.5) LETK=O+C LET B2 = 1/ ALPHA LET B = SQRT(B2) LET NUM = 1 + B * SQRT«C-B2)/(C-l» LET DEN = C - B2 - 1 LET A = NUM / DEN LETT= N(X) LET WSMALL = XSORT(O) - (1 +A) * XSORT(O+ 1) + A * XSORT(K) LET WLARGE = XSORT(T+I-0) - (I+A) * XSORT(T-O) + A * XSORT(T+I-K) ENDMACRO 284 Appendix 12: Graphs of Abnormal Returns for the Mean Adjusted Return Model 285 N C1:J0\ Graph 8.1: Cumulative Average Abnormal Returns for Cross-Sectional Portfolio for the Period Half a Year before the Announcement Date (from Day -120 to 0 for Mean Adjusted Return Model) o I I I I . I I . I I I I I I ! I I I I I II I i I I I I I I I I I I I I I I I I i I ! : I i ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ m m ro ro 00 ~ ~ m W W ID ID ~ v v ~ ~ N N N ~ ~ I I ...- 000 I I I I I I I I I I I I I I I -0.005 .. ~,.... . -0.01 -0.015 -0.02 -0.025 -0.03 -0.035 -0.04 -0.045 -0.05 Days Relative to Announcement Date Graph 8.2: Cumulative Average Abnormal Returns for Cross-Sectional Portfolio for One Year after the Announcement Date (from Day -60 to +250 for Mean Adjusted Return Model) 0.05 0 o 0 0 0 0 0 0 0 0 0 0 0 0 0 0 000 ~ 00 m 0 N M v ~ m ~ 00 m 0 N M v N N N N N -0.05 -0.1 -0.15 -0.2 -0.25 Days Relative to Announcement Date IV CY:J "'l OSI:I 001:1 O!HI 0011 OSOI ...0001 ••• • 99 ••• " ... , .99 ••• " ... , ." ••• • S< , N o • • o 288 Graph 8.4: Average Abnormal Returns of Cross-Sectional Portfolio for Mean Adjusted Return Model from Day - 60 to +60 0.02 0.015 0.01 0.005 0 -0.005 -0.01 -0.015 Days Relative to Announcement Date IV 00 '" N \.() o Graph 8.5: Cumulative Average Abnormal Returns for Mean Adjusted Return Model Segmented by Announcement Date Return 0.5 ,------, o Fi'Z.-1' I..... -~ o ooooo~0 0 0 0 000000 ~ ~ ~ ~ ~ ~ ~ N M M ~ ~ ~ ~ ~ ~ ~ ~ 00 m m -0.5 Positive Return on Announcement Date -1 -1.5 -2 Negative Return on Announcement Date -2.5 -3 L- ______~ Days Relative to Announcement Date Appendix 13: Graphs of Abnormal Returns for the Industry Adjusted Market Model 291 tv \0 tv Graph 8.6: Cumulative Average Abnormal Returns for Cross-Sectional Portfolio for the Period Half a Year before the Announcement Date (from Day - 120 to 0 for the Industry Adjusted Return Model) o I I ill:' I III II "1111 I, I II I 1,1111 II i I 11'11 i ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ 0 ~ N 00 ~ o 0 0 m m 00 00 00 ~ ~ ~ ~ ~ ~ ~ v v v M M N N N I I -0.005 '7 -0.01 -0.015 -0.02 -0.025 -0.03 -0.035 -0.04 -0.045 -0.05 LI ______~ Days Relative to Announcement Date Graph 8.7: Cumulative Average Abnormal Returns for Cross-Sectional Portfolio for One Year After the Announcement Date (from Day - 60 to + 250 for Industry Adjusted Market Model) o o 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 000 ~ ~ ~ 00 m 0 N ~ ~ ~ ~ ~ 00 m 0 N ~ ~ N N N N N -0.05 -0.1 -0.15 -0.2 -0.25 ~------~ Days Relative to Announcement Date tv \0 v.> N \.0 """ Graph 8.8: Cumulative Average Abnormal Returns for Cross-Sectional Porfolio over five Years after the Announcement Date (Industry Adjusted Return Model) o ~ .~ o 000 0 0 0 0 000 0 0 0 0 0 0 0 ~ 0 ~ 0 ~ 0 ~ 0 ~ 0 ~ 0 ~ 0 ~ 0 ~ 0 M ~ ~ ~ ~ ~ ~ ~ ~ 00 00 ~ ~ 0 0 N -0.2 -0.4 -0.6 -0.8 -1 -1.2 -1.4 -1.6 -1.8 LI ______~ Days Relative to Announcement Date Graph 8.9: Average Abnormal Returns for Cross-Sectional Portfolio using the Industry Adjusted Return Model (from Day - 60 to + 60) 0.015 0.01 0.005 0 -0.005 -0.01 -0.015 Days Relative to Announcement Date N \0 Ul Appendix 14: List of Listed Options on the Deutsche Terminborse AG 297 Table A14: List of Publicly Listed German Companies which have Options traded on the Deutsche Terminborse AG Company Start of Trading Allianz Holding 26 - Jan - 1990 BASF 26 - Jan - 1990 Bayer 26 - Jan - 1990 BMW 26 - Jan - 1990 Cornmerzbank 26 - Jan - 1990 Daimler Benz 26 - Jan - 1990 Deutsche Bank 26 - Jan - 1990 Dresdner Bank 26 - Jan - 1990 Hoechst 26 - Jan - 1990 Mannesmann 26 - Jan - 1990 Siemens 26 - Jan - 1990 Thyssen 26 - Jan - 1990 VEBA 26 - Jan - 1990 Volkswagen 26 - Jan - 1990 RWE 24 - Sep - 1990 Bayerische Hypotheken- und Wechsel-Bank 24 - Jan - 1994 Bayerische Vereinsbank 23 - Jan - 1995 Lufthansa 23 - Jan - 1995 Preussag 23 - Jan - 1995 VIAG 23 - Jan - 1995 Adidas 23 - Sep - 1996 Continental 23 - Sep - 1996 Degussa 23 - Sep - 1996 Douglas 23 - Sep - 1996 Fresenius (preferred shares) 23 - Sep - 1996 Bilfinger & Berger 23 - Sep - 1996 Henkel (preferred shares) 23 - Sep - 1996 Holzmann 23 - Sep - 1996 Karstadt 23 - Sep - 1996 KlocknerWerke 23 - Sep - 1996 Linde 23 - Sep - 1996 MAN 23 - Sep - 1996 Metallgesellschaft 23 - Sep - 1996 Merck 23 - Sep - 1996 Miinchner Ruck 23 - Sep - 1996 Metro 23 - Sep - 1996 RWE (preferred shares) 23 - Sep - 1996 SAP (preferred shares) 23 - Sep - 1996 Schering 23 - Sep - 1996 Volkswagen (preferred shares) 23 - Sep - 1996 Source: Deutsche Borse AG 298 REFERENCES Agrawal, Anup, Jaffe, Jeffrey F., & Mandelker, Gershon, N. 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