IDEAS home Printed from https://ideas.repec.org/a/srs/jasf00/v3y2012i1p49-57.html

Volatility Information And Stock Market Crashes

Author

Listed:
  • Nikolaos Antonakakis

  • Johann Scharler

Abstract

In this paper we examine the evolution of the SP500 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

Suggested Citation

  • Nikolaos Antonakakis & Johann Scharler, 2012. "Volatility Information And Stock Market Crashes," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 3(1), pages 49-57.
    • Handle: RePEc:srs:jasf00:v:3:y:2012:i:1:p:49-57
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • G0 - Financial Economics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:srs:jasf00:v:3:y:2012:i:1:p:49-57. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Claudiu Popirlan The email address of this maintainer does not seem to be valid anymore. Please ask Claudiu Popirlan to update the entry or send us the correct address (email available below). General contact details of provider: http://journals.aserspublishing.eu/jasf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.