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

Amelie Charles and Olivier Darné

Journal of Banking & Finance, 2014, vol. 43, issue C, 188-199

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: Large shocks; Volatility; Stock market (search for similar items in EconPapers)
JEL-codes: C12 G01 N22 N42 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:43:y:2014:i:c:p:188-199

DOI: 10.1016/j.jbankfin.2014.03.022

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