Analyst recommendations and volatility in a rising, falling, and crisis equity market

Shaen Corbet, Michael Dowling and Mark Cummins
Additional contact information
Shaen Corbet: DCU - Dublin City University [Dublin]
Michael Dowling: ESC Rennes School of Business - ESC [Rennes] - ESC Rennes School of Business
Mark Cummins: DCU - Dublin City University [Dublin]

Post-Print from HAL

Abstract: The impact of analyst recommendations on equity market volatility is examined for the Greek market. Building on prior research showing an asymmetric impact of recommendations in rising and falling markets, this study extends the investigation to three market states, through including a crisis market period for Greece. Sell recommendations are shown to increase volatility, while the influence of buy recommendations depends on market state. Importantly, the crisis market period shows a marked decrease in the explanatory power of the model. A comparison with the German market is provided.

Date: 2015-11
References: Add references at CitEc
Citations:

Published in Finance Research Letters, 2015, 15, pp.187-194. ⟨10.1016/j.frl.2015.09.009⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04028662

DOI: 10.1016/j.frl.2015.09.009

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().