Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79603
Authors: 
Strohsal, Till
Weber, Enzo
Year of Publication: 
2012
Series/Report no.: 
SFB 649 Discussion Paper 2012-043
Abstract: 
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that feeds into other markets depending on the prevailing level of volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the signal of volatility to depend crucially on the combination of its sender and receiver.
Subjects: 
Information
Uncertainty
Spillover
Simultaneous Equations
Identification
JEL: 
G15
C32
Document Type: 
Working Paper

Files in This Item:
File
Size
900.35 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.