Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
| Autor: | Nicholas Mangee, Roman Frydman |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Index (economics)
Ex-ante business.industry Autoregressive conditional heteroskedasticity Concordance G14 expectations concordance volatility D81 D84 HD61 Analytics Knightian uncertainty HG1-9999 Econometrics Economics ddc:330 narrative analytics Stock market Risk in industry. Risk management Volatility (finance) G12 business Finance |
| Zdroj: | Journal of Risk and Financial Management, Vol 14, Iss 521, p 521 (2021) Journal of Risk and Financial Management Volume 14 Issue 11 |
| ISSN: | 1911-8066 1911-8074 |
| Popis: | This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which KU events are associated with directionally similar expectations of future returns. Narrative analytics of daily news reports allow for the assessment of bullish versus bearish views in the stock market. Increases in expectations concordance across all KU events results in reinforcing effects and an increase in stock market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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