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Can a stochastic cusp catastrophe model explain stock market crashes？.pdf

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Can a stochastic cusp catastrophe model explain stock market crashes？

ARTICLE IN PRESSContents lists available at ScienceDirect Journal of Economic Dynamics Control Journal of Economic Dynamics Control 33 (2009) 182418 doi:10.1 Cor Czech R E-mjournal homepage: /locate/jedcCan a stochastic cusp catastrophe model explain stock market crashes?J. Barunik a,b,, M. Vosvrda a,b a Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 110 000, Prague 1, Czech Republic b Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 182 08, Prague 8, Czech Republica r t i c l e i n f o Article history: Received 11 February 2008 Accepted 17 April 2009 Available online 12 May 2009 JEL classification: C01 C53 Keywords: Stochastic cusp catastrophe Bifurcations Singularity Nonlinear dynamics Stock market crash89/$ - see front matter 2009 Elsevier B.V. A 016/j.jedc.2009.04.004 responding author at: Institute of Economic epublic. Tel.: +420776259273. ail addresses: barunik@utia.cas.cz (J. Barunik)a b s t r a c t This paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data. We show that the cusp catastrophe model explains the crash of stock exchanges much better than other models. Using the data of U.S. stock markets we demonstrate that the crash of October 19, 1987, may be better explained by cusp catastrophe theory, which is not true for the crash of September 11, 2001. With the help of sentiment measures, such as the index put/call options ratio and trading volume (the former models the chartists, the latter the fundamentalists), we have found that the 1987 returns are bimodal, and the cusp catastrophe model fits these data better than alternative models. Therefore we may say that the crash has been led by internal forces. However, the causes for the crash of 2001 are external, which is also evident in much weaker presence of bifurcations in the data. In this case, alternative models explain the cra