Bohl, Martin T. (contributor); Siklos, Pierre L. (contributor) - 2005
know of no econometric study that asks whether feedback, momentum or trend chasing type behavior might explain the behavior … of large stock market downturns. Resorting to a feedback trader model, we estimate a variety of asymmetric GARCH … feedback trading during episodes of stock market crashes. Hence, the econometric evidence is broadly consistent with findings …