文章基本信息

标题：Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles
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作者：Wahyu Ramadhan ; Joko Santoso ; Wini Trilaksani 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2018
卷号：2
期号：1
页码：486-590
DOI：10.3934/QFE.2018.1.1
语种：English
出版社：AIMS Press
摘要：We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable price increase and the associated crash. Some researchers and finance practitioners believe 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 bubbles and, using creative graphical representations to capture robustly the transient dynamics of the volatility, find that the dynamics of the volatility would not have been a useful predictor of the subsequent crashes. In approximately two-third of the studied bubbles, the crash follows a period of lower volatility, reminiscent of the idiom of a "lull before the storm". This paradoxical behavior, from the lenses of traditional asset pricing models, further questions the general relationship between risk and return.
关键词：bubble;boom;bust;crash;prediction;volatility;risk-return