Physics – Condensed Matter – Statistical Mechanics
Scientific paper
1999-10-14
Physics
Condensed Matter
Statistical Mechanics
6 pages, one figure (8 graphics)
Scientific paper
10.1142/S0129183100000092
In this empirical paper we show that in the months following a crash there is a distinct connection between the fall of stock prices and the increase in the range of interest rates for a sample of bonds. This variable, which is often referred to as the interest rate spread variable, can be considered as a statistical measure for the disparity in lenders' opinions about the future; in other words, it provides an operational definition of the uncertainty faced by economic agents. The observation that there is a strong negative correlation between stock prices and the spread variable relies on the examination of 8 major crashes in the United States between 1857 and 1987. That relationship which has remained valid for one and a half century in spite of important changes in the organization of financial markets can be of interest in the perspective of Monte Carlo simulations of stock markets.
No associations
LandOfFree
Identifying the bottom line after a stock market crash does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Identifying the bottom line after a stock market crash, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Identifying the bottom line after a stock market crash will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-105761