Market Volatility as Crisis Predictor
December 22, 2016 - Volatility Effects
Do equity market volatility behaviors predict financial crises? In their October 2016 paper entitled “Learning from History: Volatility and Financial Crises”, Jon Danielsson, Marcela Valenzuela and Ilknur Zer investigate linkages among stock market volatility, risk-taking and financial market crises over the very long run. Their volatility measurement methodology is: Measure volatility annually as standard deviation of 12 monthly returns (July through… Keep Reading