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Journal Articles Journal of Banking and Finance Year : 2014

Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013

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Amélie Charles
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Abstract

We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections, wars, monetary policies, etc.). We show that some shocks are not identified as extraordinary movements by the investors due to their occurring during high volatility episodes, especially the 1929–1934, 1937–1938 and 2007–2011 periods.
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hal-01122507 , version 1 (29-04-2015)

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Amélie Charles, Olivier Darné. Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013. Journal of Banking and Finance, 2014, 43, pp.188-199. ⟨10.1016/j.jbankfin.2014.03.022⟩. ⟨hal-01122507⟩
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