The signal of volatility

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2012-043

Klassifikation und Themen

• Klassifikation: Wirtschaft ; International Financial Markets ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Thema: Information ; Uncertainty ; Spillover ; Simultaneous Equations ; Identification ; Börsenkurs ; Volatilität ; Informationswert ; Spillover-Effekt ; Schätzung ; Simultanes Gleichungssystem ; Aktienmarkt ; USA ; Welt

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Strohsal, Till ; Weber, Enzo
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/79603
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ