Quotation Antonakakis, Nikolaos, Scharler, Johann. 2012. Volatility, Information and Stock Market Crashes. Journal of Advanced Studies in Finance 3 (5): 49-67.




In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the crash. These results do not support the view that crashes are due to the resolution of uncertainty (e.g. Romer, 1993), but are consistent with the model in Frankel (2008) where the adaptive forecasts of volatility by uniformed traders result in a crash.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Advanced Studies in Finance
Language English
Title Volatility, Information and Stock Market Crashes
Volume 3
Number 5
Year 2012
Page from 49
Page to 67
Reviewed? Y
URL http://www.degruyter.com/view/j/jasf.2012.III.issue-1/v10259-012-0004-0/v10259-012-0004-0.xml


Antonakakis, Nikolaos (Former researcher)
Scharler, Johann (Innsbruck University, Austria)
Department of Economics (Badinger) (Details)
Department of Economics DP (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5311 Public finance (Details)
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