Forecasting market crashes : further international evidence

摘要: This paper studies the extent to which market crashes are predictable for a set of six countries, focusing in particular on possible differences between transition economies (The Czech Republic, Hungary and Poland) mature markets (UK, US EU). We estimate individual country pooled specifications find that crashes, broader sense, all countries analysed.We additionally investigate role investor heterogeneity, proxied by trading volume, plays this predictability some varying results countries.For Central Eastern European Countries (CE3), an increase volume relative trend appears have great predictive power, result is supportive theory heterogeneity outlined relevant background studies. For more (G5), other hand, appear likely follow period increased stock prices returns, fitting number traditional theories, stochastic bubble model.Further analysis, allowing time-varying coefficients, confirms volume-crash relationship CE3 provides preliminary evidence macro news releases may contribute crashes. Keywords: aggregate skewness, crash JEL classification numbers: C14, G12, G15