文章基本信息

标题：The Dynamics of the SP 500 under a Crisis Context: Insights from a Three-Regime Switching Model
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作者：Lorenzo Cerboni Baiardi ; Massimo Costabile ; Domenico De Giovanni 等
期刊名称：Risks
印刷版ISSN：2227-9091
出版年度：2020
卷号：8
期号：71
页码：71
DOI：10.3390/risks8030071
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper provides an econometric analysis aiming at evidencing the dynamics showed by the SP 500 market index during the period of 4 January 2001–28 April 2020, in which the subprime crisis has taken place and the COVID-19 crisis has begun. In particular, we fit a three-regime switching model that allows market parameters to behave differently during economic downturns, with the regimes representative of the tranquil, volatile, and turbulent states. We document that the tranquil regime is the most frequent for the whole period, while the dominant regime is the volatile one for the crisis of 2008 and the turbulent one for the first four months of 2020. We fit the same model to the returns of the Dow Jones Industrial Average index and find that during the same period of investigation, the most frequent regime has been the tranquil one, while the volatile and turbulent regimes share the same frequencies. Additionally, we use a multinomial logit model to describe the probabilities of volatile or turbulent regimes. We show that, in the case of the SP 500 index, the returns from the Volatility Index (VIX) index are significant for both the volatile and the turbulent regimes, while the gold, WTI oil, and the dollar indices have some explanatory power only for the turbulent regime.