Identifying major shocks in market volatility and their impact on trading strategies

Pauline Shum; Kevin X. Zhu

doi:10.1142/9789812772213_0013

Identifying major shocks in market volatility and their impact on trading strategies

Pauline Shum, Kevin X. Zhu^*

^*Corresponding author for this work

Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review

Abstract

Major political and financial events, such as the invasion of Kuwait by Iraq and the 1997 Asian Financial Crisis, create great uncertainty in the economy. Accordingly, they have a strong influence on the stock market. In addition, the unexpected shifts in market volatility can last for days or months. The main goal of this paper is to identify the periods in which investors experience major shocks in market volatility in the US. As an interesting extension, we also study the impact of these shocks on the performance of two popular trading strategies.

Original language	English
Title of host publication	Advances In Quantitative Analysis Of Finance And Accounting (Vol. 5)
Publisher	World Scientific Publishing Co.
Pages	259-281
Number of pages	23
ISBN (Electronic)	9789812772213
DOIs	https://doi.org/10.1142/9789812772213_0013
Publication status	Published - 1 Jan 2007
Externally published	Yes

Keywords

Stock market volatility
Trading strategies

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10.1142/9789812772213_0013

Cite this

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Identifying major shocks in market volatility and their impact on trading strategies

Abstract

Keywords

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