Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013

Amélie Charles () and Olivier Darné
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Amélie Charles: Audencia Recherche - Audencia Business School

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Abstract: We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections, wars, monetary policies, etc.). We show that some shocks are not identified as extraordinary movements by the investors due to their occurring during high volatility episodes, especially the 1929–1934, 1937–1938 and 2007–2011 periods.

Keywords: Stock market; Large shocks; Volatility (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-his and nep-rmg
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Published in Journal of Banking and Finance, 2014, 43, pp.188-199. ⟨10.1016/j.jbankfin.2014.03.022⟩

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Journal Article: Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013 (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01122507

DOI: 10.1016/j.jbankfin.2014.03.022

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