Can do you volatility to diagnose financial bubbles
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Can do you volatility to diagnose financial bubbles
s:tiRESEARCHSwiss Finance InstituteResearch Paper SeriesNo17-27Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 historical bubbles Can do you volatility to diagnose financial bubbles sDidier SORNETTEETH Zurich and Swiss Finance InstitutePeter CAUWELSETH ZurichGeorgi SMILYANOVETH ZurichCan We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 historical bubblesDidier Somcttc’. Peter Caiiwcls, Gcorgi Smilyanovt'l'H Zurich Department vf Management. TcchntdoỊỊỊ and tcutum Can do you volatility to diagnose financial bubbles ics •W)2 Zurich, Swityriiind’ ab» ai Ike Swbi finance inrtilute ứ/ Univtnily of Geneva. w bM. Du nmi dAcc. CH Í2ÍI Geneva -i. SwH.-crlandAbstractWe inCan do you volatility to diagnose financial bubbles
spect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether s:tiRESEARCHSwiss Finance InstituteResearch Paper SeriesNo17-27Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 historical bubbles Can do you volatility to diagnose financial bubbles finance practitioners hclicvc that historical and/or implied volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known hubbies and, using creative graphical representations to capture robustly the transient dynamics of the volatility, find that Can do you volatility to diagnose financial bubbles the dy namics of the volatility would not have been a useful predictor of the subsequent crashes. In approximately two-third of the studied bubbles, tCan do you volatility to diagnose financial bubbles
he crash follows a period of lower volatility, reminiscent of the idiom of a "hill before the storm". This paradoxical behavior, from the lenses of trs:tiRESEARCHSwiss Finance InstituteResearch Paper SeriesNo17-27Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 historical bubbles Can do you volatility to diagnose financial bubbles latility, risk-returnJEL: G01.GI 5 .G17Contents1Introduction32Brief review of the literature on bubble models and detection methods33Research question and summary of main results54Method65List of Bubbles76Study of the forty bubbles and their associated volatility dynamics96.1 US slock market bubble Can do you volatility to diagnose financial bubbles ending in September 1929 ............................................. 96.2US stock market bubble ending in March 1962 ...............................Can do you volatility to diagnose financial bubbles
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