Yoontae Jeon - Latest

• Time-Varying Crash Risk: The Role of Stock Market Liquidity

  Staff working paper 2016-35 Peter Christoffersen, Bruno Feunou, Yoontae Jeon, Chayawat Ornthanalai

  We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.

  Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods