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

Sabri, Nidal Rashid, Roots of Stock Market Volatility and Crises. International Review of Comparative Public Policy, Vol. 13, pp. 1-44, 2002, Available at SSRN: https://ssrn.com/abstract=470768

Nidal Rashid Sabri (Contact Author)

Birzeit University ( email )

Birzeit, West Bank
Palestine
972 2 2810396 (Phone)
972 2 2982963 (Fax)

HOME PAGE: http://home.birzeit.edu/commerce/sabri

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