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dc.contributor.authorSiklos, Pierre L.en_US
dc.contributor.authorBohl, Martin T.en_US
dc.coverage.temporal1915-2004en_US
dc.date.accessioned2009-01-29T14:26:10Z-
dc.date.available2009-01-29T14:26:10Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/22104-
dc.description.abstractStock 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.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesThe Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2005,7en_US
dc.subject.jelG14en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.stwBörsenkriseen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.subject.stwfeedback tradingen_US
dc.titleTrading Behavior During Stock Market Downturns: The Dow, 1915 - 2004en_US
dc.typeWorking Paperen_US
dc.identifier.ppn497904349en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:euvgra:20057-
Appears in Collections:Working Paper Series, Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa", Europa-Universität Viadrina

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