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Full-Text Articles in Finance and Financial Management
Retail Trading And Stock Volatility: The Case Of Robinhood, Cooper Jones
Retail Trading And Stock Volatility: The Case Of Robinhood, Cooper Jones
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
We examine the relation between Robinhood usership and stock market volatility. We show that daily fluctuations in Robinhood usership, which is used to proxy retail trading, significantly influence various measures of volatility. These results might suggest that Robinhood users contribute to noise trading as they are generally individuals trading on name recognition, media coverage, popularity, and familiarity of products, rather than on fundamental values. In our empirical approach, we find that the percentage increase in Robinhood usership Granger causes increases in daily stock volatility.
Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark
Predictive Distributions Via Filtered Historical Simulation For Financial Risk Management, Tyson Clark
All Graduate Plan B and other Reports, Spring 1920 to Spring 2023
Filtered historical simulation with an underlying GARCH process can be used as a valuable tool in VaR analysis, as it derives risk estimates that are sensitive to the distributional properties of the historical data of the produced predictive density. I examine the applications to risk analysis that filtered historical simulation can provide, as well as an interpretation of the predictive density as a poor man’s Bayesian posterior distribution. The predictive density allows us to make associated probabilistic statements regarding the results for VaR analysis, giving greater measurement of risk and the ability to maintain the optimal level of risk per …