Speculative Behaviour, Regime-Switching and Stock Market Crashes

Simon van Norden () and Huntley Schaller

Staff Working Papers from Bank of Canada

Abstract: This paper uses regime-switching econometrics to study stock market crashes and to explore the ability to two very different economic explanations to account for historical crashes.

Keywords: STOCK MARKET; REGRESSION ANALYSIS (search for similar items in EconPapers)
JEL-codes: E44 E47 (search for similar items in EconPapers)
Pages: 47 pages
Date: 1996
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Citations: View citations in EconPapers (27)

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Related works:
Working Paper: Speculative Behaviour, Regime-Switching, and Stock Market Crashes (1995)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:96-13

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