@techreport{Siklos2005Trading,
abstract = {Stock markets periodically experience sharp falls with some referred to as outright
crashes. The extant literature has generally resorted to survey type evidence to determine the
behavior of investors during such episodes. These kind of studies come to the conclusion that
fundamentals play little role in explaining sharp stock market downturns as in October 1987. We
know of no econometric study that asks whether feedback, momentum or trend chasing type
behavior might explain the behavior of large stock market downturns. Resorting to a feedback
trader model, we estimate a variety of asymmetric GARCH-type models. Based on daily data on
the Dow Jones Industrial Average index since 1915 we find that there is evidence of positive
feedback trading during episodes of stock market crashes. Hence, the econometric evidence is
broadly consistent with findings based on surveys.},
author = {Pierre L. Siklos and Martin T. Bohl},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G14; C22; 330; B\"{o}rsenkrise; Wertpapierhandel; Anlageverhalten; Sch\"{a}tzung; USA; feedback trading},
language = {eng},
number = {2005,7},
title = {Trading Behavior During Stock Market Downturns: The Dow, 1915 - 2004},
type = {The Postgraduate Research Programme working paper series / Europa-Universit\"{a}t Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalm\"{a}rkte und Finanzwirtschaft im erweiterten Europa"},
url = {http://hdl.handle.net/10419/22104},
year = {2005}
}
