Li, Ziran; Sun, Jiajing; Wang, Shouyang - Volkswirtschaftliche Fakultät, … - 2013
We study the mechanism that controls the shape of the bear market through an information diffusion perspective, and … establish a frontier of market decline, in terms of a trade-off between amplitude, duration and the rate of information … diffusion. Empirical analysis using data from 15 stock markets confirms the existence of this trade-off relationship. An …