Causes of fragile stock market stability

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F22%3A10250096" target="_blank" >RIV/61989100:27510/22:10250096 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0167268122002050?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0167268122002050?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jebo.2022.06.009" target="_blank" >10.1016/j.jebo.2022.06.009</a>

Result language
angličtina
Original language name
Causes of fragile stock market stability
Original language description
We develop a behavioral stock market model in which a market maker adjusts stock prices with respect to the orders of chartists, fundamentalists and sentiment traders. We analytically prove that the mere presence of sentiment traders, i.e. traders who optimistically buy stocks in rising markets and pessimistically sell stocks in falling markets, compromises the stability of stock markets. In particular, this means that instead of converging towards their fundamental value, stock prices either display endogenous oscillatory dynamics or converge towards nonfundamental fixed points - observations that challenge standard stability claims offered in the pertinent literature.(c) 2022 Elsevier B.V. All rights reserved.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50200 - Economics and Business

Project
<a href="/en/project/GJ20-25660Y" target="_blank" >GJ20-25660Y: Modeling credit risk and system risk in the non-life insurance sector.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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