What Causes Persistence Of Stock Return Volatility? One Possible Explanation With An Artificial Stock Market
AbstractThis paper explores a possible cause of persistence in stock return volatility. Artificial stock markets are examined with different learning mechanisms, i.e. imitative and experiential learning. The simulation result shows that an economy with imitative learning gives rise to persistence of return volatility while an experiential learning economy does not. We find that volatility becomes persistent as investors learn through imitating the prediction methods of others. Imitation is crucial to producing the persistence in stock return volatility.
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Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal New Mathematics and Natural Computation.
Volume (Year): 02 (2006)
Issue (Month): 03 ()
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Web page: http://www.worldscinet.com/nmnc/nmnc.shtml
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- Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
- Kin‐Yip Ho & Zhaoyong Zhang, 2012. "Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach," The World Economy, Wiley Blackwell, vol. 35(4), pages 500-523, 04.
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