Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which KU e...

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Autores principales:	Roman Frydman, Nicholas Mangee
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	expectations concordance narrative analytics volatility Knightian uncertainty Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/f6f7c59c4ee746a2acd89d30cfe62afb
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spelling	oai:doaj.org-article:f6f7c59c4ee746a2acd89d30cfe62afb2021-11-25T18:08:31ZExpectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic10.3390/jrfm141105211911-80741911-8066https://doaj.org/article/f6f7c59c4ee746a2acd89d30cfe62afb2021-11-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/521https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which KU events are associated with directionally similar expectations of future returns. Narrative analytics of daily news reports allow for the assessment of bullish versus bearish views in the stock market. Increases in expectations concordance across all KU events results in reinforcing effects and an increase in stock market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates.Roman FrydmanNicholas MangeeMDPI AGarticleexpectations concordancenarrative analyticsvolatilityKnightian uncertaintyRisk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 521, p 521 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	expectations concordance narrative analytics volatility Knightian uncertainty Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	expectations concordance narrative analytics volatility Knightian uncertainty Risk in industry. Risk management HD61 Finance HG1-9999 Roman Frydman Nicholas Mangee Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
description	This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which KU events are associated with directionally similar expectations of future returns. Narrative analytics of daily news reports allow for the assessment of bullish versus bearish views in the stock market. Increases in expectations concordance across all KU events results in reinforcing effects and an increase in stock market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates.
format	article
author	Roman Frydman Nicholas Mangee
author_facet	Roman Frydman Nicholas Mangee
author_sort	Roman Frydman
title	Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
title_short	Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
title_full	Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
title_fullStr	Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
title_full_unstemmed	Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic
title_sort	expectations concordance and stock market volatility: knightian uncertainty in the year of the pandemic
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/f6f7c59c4ee746a2acd89d30cfe62afb
work_keys_str_mv	AT romanfrydman expectationsconcordanceandstockmarketvolatilityknightianuncertaintyintheyearofthepandemic AT nicholasmangee expectationsconcordanceandstockmarketvolatilityknightianuncertaintyintheyearofthepandemic
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Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic

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