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Volatility, information and stock market crashes

Research output: Contribution to journalArticlepeer-review

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Volatility, information and stock market crashes. / Antonakakis, Nikolaos; Scharler, J.

In: Journal of Advanced Studies in Finance, Vol. 3, No. 1, 06.2012, p. 49-67.

Research output: Contribution to journalArticlepeer-review

Harvard

Antonakakis, N & Scharler, J 2012, 'Volatility, information and stock market crashes', Journal of Advanced Studies in Finance, vol. 3, no. 1, pp. 49-67. <http://www.asers.eu/asers_files/jasf/JASF%20Volume%20III%20Issue%201_5_%20Summer%202012.pdf>

APA

Antonakakis, N., & Scharler, J. (2012). Volatility, information and stock market crashes. Journal of Advanced Studies in Finance, 3(1), 49-67. http://www.asers.eu/asers_files/jasf/JASF%20Volume%20III%20Issue%201_5_%20Summer%202012.pdf

Vancouver

Antonakakis N, Scharler J. Volatility, information and stock market crashes. Journal of Advanced Studies in Finance. 2012 Jun;3(1):49-67.

Author

Antonakakis, Nikolaos ; Scharler, J. / Volatility, information and stock market crashes. In: Journal of Advanced Studies in Finance. 2012 ; Vol. 3, No. 1. pp. 49-67.

Bibtex

@article{d4cbb641ddbb419ca4a26aa7cddcb5fd,
title = "Volatility, information and stock market crashes",
abstract = "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.",
keywords = "stock market crash, volatility, Markov switching.",
author = "Nikolaos Antonakakis and J. Scharler",
year = "2012",
month = jun,
language = "English",
volume = "3",
pages = "49--67",
journal = "Journal of Advanced Studies in Finance",
issn = "2068-8393",
number = "1",

}

RIS

TY - JOUR

T1 - Volatility, information and stock market crashes

AU - Antonakakis, Nikolaos

AU - Scharler, J.

PY - 2012/6

Y1 - 2012/6

N2 - 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.

AB - 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.

KW - stock market crash

KW - volatility

KW - Markov switching.

M3 - Article

VL - 3

SP - 49

EP - 67

JO - Journal of Advanced Studies in Finance

JF - Journal of Advanced Studies in Finance

SN - 2068-8393

IS - 1

ER -

ID: 180373