The pattern of Euronext volatility in the crisis period: an intrinsic volatility analysis
AbstractThe pathology of the financial instability is inter alia characterized by structural changes in the market prices’ volatility. Such changes are the expression of investor’s uncertainty in regard to the market’s dynamics and lead to systematic anticipation errors. The objective of this paper is to study the modifications in the most significant European index -EURONEXT, in the aftermath of financial crisis. The methodology consists in the estimation of the so called intrinsic volatility in index daily data, during pre and current crisis period. Also, it is a study on the structural changes in this volatility based on Quandt-Andrews Break point test. The main output consists in the thesis that for the financial crisis’ period there are specific rapid adjustments in short run anticipations and the appearance of global picks in market dynamics
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20145.
Date of creation: 10 Dec 2009
Date of revision:
crisis volatility prices structural changes;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G01 - Financial Economics - - General - - - Financial Crises
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