Appendix
Appendix A: List of tables & figures Table 1: Hypotheses
Table 2: Overview of companies and sectors chosen Table 3: Characteristics of dataset
Table 4: Pearson Correlation – DAX and NASDAQ 100 Companies Table 5: Correlation coefficients
Table 6: DAX & NASDAQ 100 – Percental Change within period Table 7: Overview Beta
Table 8: Comparing Beta Table 9: Overview Results
Figure 1: Risk Classes Figure 2: Conceptual model
Figure 3: DAX and NASDAQ 100 Chart – 1999-2008
Figure 4: FTSE 100, NASDAQ 100 and DAX Chart 2005-2008
Figure 5: DAX Companies – Average volume before burst of internet bubble I Figure 6: DAX Companies – Average volume before burst of internet bubble II
Figure 7: DAX Companies – Average trading volume before, in between and after the event Figure 8: NASDAQ 100 Companies – Average volume before burst of internet bubble I Figure 9: NASDAQ 100 Companies – Average volume before burst of internet bubble II Figure 10: NASDAQ 100 Companies – Average volume before burst of internet bubble III Figure 11/12: NASDAQ 100 Companies – Average trading volume before, in between and after the event I
Figure 13: NASDAQ 100 Companies – Average trading volume before, in between and after the event II
Financial Crises: Can Behavioral Finance help to understand them Martin Günther
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Figure 15: FTSE 100 – 5 minutes trading data results Figure 16: DAX – 5 minutes trading data results
Financial Crises: Can Behavioral Finance help to understand them Martin Günther
Appendix B: Calculation of Beta
In the following an example of the calculation of beta is shown. In order to fit it on one page, the beta has been defined on a three year period instead of eight – ten year period used in the thesis. The below shown example is for Lufthansa and the beta differs slightly from the beta shown in the thesis as the time period is shorter.
Period Portfolio Market
Portfolio (a) Market (b) Portfolio (c) (a)‐av.a Market (d) (b) ‐ av.b (e) c x d (f) d^2 1 17,95 4.068,05 2 17,13 3.949,14 ‐4,57 ‐2,92 ‐2,86 ‐1,09 3,11 1,18 3 15,39 3.726,69 ‐10,16 ‐5,63 ‐8,45 ‐3,80 32,08 14,41 4 17,79 4.167,85 15,59 11,84 17,30 13,67 236,60 186,99 5 18,51 3.906,03 4,05 ‐6,28 5,75 ‐4,45 ‐25,58 19,76 6 18,94 4.438,93 2,32 13,64 4,03 15,48 62,39 239,61 7 17,10 3.785,77 ‐9,71 ‐14,71 ‐8,01 ‐12,88 103,12 165,84 8 13,91 3.547,84 ‐18,65 ‐6,28 ‐16,95 ‐4,45 75,39 19,79 9 12,35 3.438,07 ‐11,21 ‐3,09 ‐9,51 ‐1,26 11,96 1,58 10 12,35 3.429,05 0,00 ‐0,26 1,71 1,57 2,69 2,48 11 11,45 3.259,64 ‐7,29 ‐4,94 ‐5,58 ‐3,10 17,32 9,64 12 11,30 3.035,15 ‐1,31 ‐6,89 0,40 ‐5,05 ‐2,01 25,51 13 10,74 2.888,69 ‐4,96 ‐4,83 ‐3,25 ‐2,99 9,71 8,93 14 10,12 2.845,52 ‐5,77 ‐1,49 ‐4,07 0,34 ‐1,39 0,12 15 10,12 2.659,25 0,00 ‐6,55 1,71 ‐4,71 ‐8,04 22,18 16 111,21 2.651,85 1,00 ‐0,28 2,71 1,56 4,22 2,43 17 107,63 2.543,83 ‐3,22 ‐4,07 ‐1,51 ‐2,24 3,38 5,00 18 107,63 2.473,35 0,00 ‐2,77 1,71 ‐0,93 ‐1,60 0,87 19 109,93 2.561,39 2,14 3,56 3,84 5,40 20,75 29,12 20 120,92 2.542,80 10,00 ‐0,73 11,70 1,11 13,00 1,23 21 124,14 2.505,25 2,66 ‐1,48 4,37 0,36 1,57 0,13 22 119,64 2.485,87 ‐3,62 ‐0,77 ‐1,92 1,06 ‐2,04 1,13 23 117,55 2.473,55 ‐1,75 ‐0,50 ‐0,04 1,34 ‐0,05 1,80 24 114,12 2.470,14 ‐2,92 ‐0,14 ‐1,21 1,70 ‐2,06 2,89 25 100,98 2.253,88 ‐11,51 ‐8,75 ‐9,81 ‐6,92 67,85 47,87 26 98,17 2.242,83 ‐2,78 ‐0,49 ‐1,08 1,35 ‐1,45 1,81 27 100,11 2.167,91 1,98 ‐3,34 3,68 ‐1,50 ‐5,54 2,26 28 101,24 2.187,04 1,13 0,88 2,84 2,72 7,71 7,39 29 110,64 2.238,31 9,28 2,34 10,99 4,18 45,96 17,48 30 113,51 2.218,74 2,59 ‐0,87 4,30 0,96 4,14 0,93 31 102,26 2.083,93 ‐9,91 ‐6,08 ‐8,20 ‐4,24 34,78 17,97 32 97,15 2.092,17 ‐5,00 0,40 ‐3,29 2,23 ‐7,34 4,98 33 93,87 2.015,94 ‐3,38 ‐3,64 ‐1,67 ‐1,81 3,02 3,27 34 89,22 1.922,59 ‐4,95 ‐4,63 ‐3,25 ‐2,79 9,07 7,81 35 102,51 2.102,18 14,90 9,34 16,60 11,18 185,58 124,94 36 97,66 2.021,27 ‐4,73 ‐3,85 ‐3,02 ‐2,01 6,08 4,05 ‐1,71 ‐1,84 904,36 1003,36
av.a av.b covariance = 25,84 variance =
0,90 (average deviation) 28,67
Share Price % annual return Deviations
