Roots of Stock Market Volatility and Crises
International Review of Comparative Public Policy, Vol. 13, pp. 1-44, 2002
Posted: 17 May 2005
Abstract
This paper aims to explore causes and interpretations of stock market crises and high price volatility existing in practices, as well as in state of arts, in order to articulate and classify such interpretations, in various models. The study found that the causes and comprehensive of stock market crises reside in various models including: interpretations overreaction model, adverse impact of related laws, increasing linkages model, transmission of volatility model, adverse impact of derivatives' model, adverse impact of related markets' model, impact of volume volatility model, and econophysics' model of stock market crises. Accordingly, the paper suggests possible remedies to curb the possible causes of stock market instability, based on the presented interpretations of stock market crises.
Keywords: stock markets, stock market crises, stability of stock market
JEL Classification: G10, G14, G15
Suggested Citation: Suggested Citation