Do banks' buy and sell recommendations influence stock market volatility? Evidence from the German DAX30

被引：1

作者：

Hendricks, TorbenW. ^{[2
]}

Kempa, Bernd ^{[3
]}

Pierdzioch, Christian ^{[1
]}

机构：

[1] Univ Saarland, Dept Econ, D-6600 Saarbrucken, Germany

[2] Univ Duisburg Essen, Dept Econ, Essen, Germany

[3] Univ Munster, Dept Econ, Munster, Germany

来源：

EUROPEAN JOURNAL OF FINANCE | 2012年 / 18卷 / 01期

关键词：

banks' stock recommendations; EGARCH model; stock market volatility; ANALYSTS RECOMMENDATIONS; INVESTMENT BANKS; RETURNS; NEWS; BOND;

D O I：

10.1080/1351847X.2010.495474

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the impact of good and bad news on stock market volatility. To this end, we utilize a novel data set of banks' buy and sell recommendations for the German DAX30 stock market index and estimate an EGARCH(1,1) model which features these recommendations as well as several other pertinent explanatory variables in the mean and variance equations. We find that in a rising market, buy recommendations lower the level of volatility and sell recommendations raise volatility, whereas the impact of news on stock market volatility is less clear-cut in a falling market.

引用

页码：29 / 39

页数：11

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