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Analyst recommendations and volatility in a rising, falling, and crisis equity market

Author

Listed:
  • Shaen Corbet

    (DCU - Dublin City University [Dublin])

  • Michael Dowling

    (ESC Rennes School of Business - ESC [Rennes] - ESC Rennes School of Business)

  • Mark Cummins

    (DCU - Dublin City University [Dublin])

Abstract

The impact of analyst recommendations on equity market volatility is examined for the Greek market. Building on prior research showing an asymmetric impact of recommendations in rising and falling markets, this study extends the investigation to three market states, through including a crisis market period for Greece. Sell recommendations are shown to increase volatility, while the influence of buy recommendations depends on market state. Importantly, the crisis market period shows a marked decrease in the explanatory power of the model. A comparison with the German market is provided.

Suggested Citation

  • Shaen Corbet & Michael Dowling & Mark Cummins, 2015. "Analyst recommendations and volatility in a rising, falling, and crisis equity market," Post-Print hal-04028662, HAL.
    • Handle: RePEc:hal:journl:hal-04028662
    DOI: 10.1016/j.frl.2015.09.009
    as

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