Analysis of Structural Breaks in the Stock Prices of German Industrial Companies

This research work is devoted to the analysis of structural breaks in the share prices of German industrial companies. Using tests of structural change, the study identifies significant gaps that potentially reveal firms' sensitivity to economic shocks. The focus is on estimating the impact of these structural breaks using different specifications of autoregressive distributed lag (ARDL) models. This approach not only identifies the timing and characteristics of structural changes, but also provides opportunities to assess the significance and impact of such events. The results show that most structural breaks are caused by factors internal to the companies themselves, such as reporting periods and changes in investor preferences. However, external events also have a significant impact - in particular, the COVID-19 pandemic, etc. Variables such as oil and gas prices, credit spreads and exchange rates have both long-term and short-term effects on stock prices, as confirmed by the ARDL results Bound Test. The study also shows that structural breaks often alter the influence of independent variables. This is most clearly expressed for the influence of oil futures prices.