Difference between revisions of "Empirical Regularities in Stock Market Crashes"
Jump to navigation
Jump to search
| Line 4: | Line 4: | ||
|Has paper status=Working paper | |Has paper status=Working paper | ||
}} | }} | ||
| − | This paper develops results discovered in my analysis of the [[2020 Stock Market Crash]], which spawned a series of Op. Ed. submissions. Version 1. | + | This paper develops results discovered in my analysis of the [[2020 Stock Market Crash]], which spawned a series of Op. Ed. submissions. Version 1.5 was posted on SSRN (https://ssrn.com/abstract=3679630) on September 7, 2020. The first posted version was 1.2, which was posted on August 23, 2020. |
<pdf>File:StockMarketAnalysisV1-5-SSRN.pdf</pdf> | <pdf>File:StockMarketAnalysisV1-5-SSRN.pdf</pdf> | ||
| Line 13: | Line 13: | ||
I define a stock market crash as the period from an index's prior peak until its recovery. Then measures of its scale are very highly correlated. These correlations suggest that crashes belong to well-defined categories and become increasingly predictable as they progress. Furthermore, being in a crash is then the default state of U.S. stock markets. | I define a stock market crash as the period from an index's prior peak until its recovery. Then measures of its scale are very highly correlated. These correlations suggest that crashes belong to well-defined categories and become increasingly predictable as they progress. Furthermore, being in a crash is then the default state of U.S. stock markets. | ||
| + | |||
| + | Note that version 1.5 has a longer abstract. | ||
==Files== | ==Files== | ||
| Line 20: | Line 22: | ||
Key files include: | Key files include: | ||
| − | *StockMarketAnalsisV1- | + | *StockMarketAnalsisV1-5-SSRN.tex The source of the version posted at https://ssrn.com/abstract=3679630 |
*CrashesV2.xlsx The main excel file for building tables and figures | *CrashesV2.xlsx The main excel file for building tables and figures | ||
*Analysis.sql The SQL file for loading and processing the source data | *Analysis.sql The SQL file for loading and processing the source data | ||
| Line 34: | Line 36: | ||
The paper was submitted as follows: | The paper was submitted as follows: | ||
*Economics Letters: Submitted on Aug 23, 2020 ($65 fee). Desk rejected by Joao F. Gomes on Aug 31. ("...while of some interest...") | *Economics Letters: Submitted on Aug 23, 2020 ($65 fee). Desk rejected by Joao F. Gomes on Aug 31. ("...while of some interest...") | ||
| + | Economics Bulletin: Submitted on Sept 7, 2020 (No fee). Under review at last check. http://www.accessecon.com/pubs/eb/ | ||
The next obvious choices are: | The next obvious choices are: | ||
*Finance Research Letters: $150 fee, 2,500 word limit, Cite Score 3.8, Impact Factor 2.02, 2nd quartile, https://www.sciencedirect.com/journal/finance-research-letters | *Finance Research Letters: $150 fee, 2,500 word limit, Cite Score 3.8, Impact Factor 2.02, 2nd quartile, https://www.sciencedirect.com/journal/finance-research-letters | ||
| − | |||
*Applied Economic Letters: $125, 2000 words, https://www.tandfonline.com/toc/rael20/current | *Applied Economic Letters: $125, 2000 words, https://www.tandfonline.com/toc/rael20/current | ||
Revision as of 18:26, 29 September 2020
| Academic Paper | |
|---|---|
| Title | Empirical Regularities in Stock Market Crashes |
| Author | Ed Egan |
| Status | Working paper |
| © edegan.com, 2016 | |
This paper develops results discovered in my analysis of the 2020 Stock Market Crash, which spawned a series of Op. Ed. submissions. Version 1.5 was posted on SSRN (https://ssrn.com/abstract=3679630) on September 7, 2020. The first posted version was 1.2, which was posted on August 23, 2020.
Abstract
From version 1.3:
I define a stock market crash as the period from an index's prior peak until its recovery. Then measures of its scale are very highly correlated. These correlations suggest that crashes belong to well-defined categories and become increasingly predictable as they progress. Furthermore, being in a crash is then the default state of U.S. stock markets.
Note that version 1.5 has a longer abstract.
Files
The TeX files, pdfs, and general development files are in:
E:\projects\stockmarketanalysis
Key files include:
- StockMarketAnalsisV1-5-SSRN.tex The source of the version posted at https://ssrn.com/abstract=3679630
- CrashesV2.xlsx The main excel file for building tables and figures
- Analysis.sql The SQL file for loading and processing the source data
- Quick.do (and Time.do) The statistical analysis code
The data files are in:
Z:\stockmarket
The dbase is stockmarket.
Submission History
The paper was submitted as follows:
- Economics Letters: Submitted on Aug 23, 2020 ($65 fee). Desk rejected by Joao F. Gomes on Aug 31. ("...while of some interest...")
Economics Bulletin: Submitted on Sept 7, 2020 (No fee). Under review at last check. http://www.accessecon.com/pubs/eb/
The next obvious choices are:
- Finance Research Letters: $150 fee, 2,500 word limit, Cite Score 3.8, Impact Factor 2.02, 2nd quartile, https://www.sciencedirect.com/journal/finance-research-letters
- Applied Economic Letters: $125, 2000 words, https://www.tandfonline.com/toc/rael20/current
