Bohl, Martin T. (contributor); Siklos, Pierre L. (contributor) - 2005
come to the conclusion that fundamentals play little role in explaining sharp stock market downturns as in October 1987. We … of large stock market downturns. Resorting to a feedback trader model, we estimate a variety of asymmetric GARCH … feedback trading during episodes of stock market crashes. Hence, the econometric evidence is broadly consistent with findings …