Q fin 16 JAN, 2021

Crowded trades, market clustering, and price instability

Crowded trades, market clustering, and price instability
Model 1 Model 2 Model 3 Model 4 Model 5
MOM -0.006 -0.11
(0.111) (0.115)
MCAP -0.146 0.320*
(0.187) (0.192)
ILLIQ 0.186* 0.408***
(0.096) (0.098)
MOMhigh -0.180 -0.081 MOMup 0.046
(0.151) (0.153) (0.122)
MOMlow 0.037 0.05 MOMdown -0.056
(0.095) (0.127) (0.134)
MCAPhigh 0.750*** -0.011 MCAPup -0.439**
(0.237) (0.299) (0.180)
MCAPlow 0.416** 0.003 MCAPdown -0.131
(0.174) (0.199) (0.154)
ILLIQhigh 0.198 -0.079 ILLIQup 0.111
(0.127) (0.143) (0.116)
ILLIQlow 0.499*** 0.303*** ILLIQdown 0.252**
(0.089) (0.107) (0.100)
VaR_dev VaR_chg VLuck_chg CLUST MKTF VIX MOM MCAP ILLIQ PB3 DY LEV3
VaR_dev 0.073 0.017 -0.061 -0.002 -0.047 -0.022 -0.268 0.169 -0.067 -0.178 0.010
VaR_chg 0.000 0.000 0.018 -0.203 0.186 -0.204 -0.039 0.047 -0.006 0.063 -0.009
VLuck_chg 0.031 0.293 0.020 -0.098 0.154 -0.253 -0.053 0.047 -0.010 0.081 -0.005
CLUST 0.000 0.020 0.011 0.004 0.102 -0.036 -0.041 0.058 -0.024 0.031 -0.025
MKTF 0.847 0.000 0.000 0.613 -0.245 0.026 0.015 -0.018 -0.018 -0.021 0.015
VIX 0.000 0.000 0.000 0.000 0.000 -0.315 -0.004 0.033 -0.042 0.127 0.054
MOM 0.005 0.000 0.000 0.000 0.001 0.000 0.091 -0.088 0.152 -0.202 -0.023
MCAP 0.000 0.000 0.000 0.000 0.050 0.612 0.000 -0.620 0.046 0.096 0.227
ILLIQ 0.000 0.000 0.000 0.000 0.027 0.000 0.000 0.000 -0.069 -0.036 -0.165
PB3 0.000 0.468 0.208 0.003 0.030 0.000 0.000 0.000 0.000 -0.039 0.015
DY 0.000 0.000 0.000 0.000 0.007 0.000 0.000 0.000 0.000 0.000 0.059
LEV3 0.191 0.276 0.501 0.002 0.062 0.000 0.003 0.000 0.000 0.065 0.000
Model 1 Model 2 Model 3 Model 4 Model 5
IV lags
CLUST 3 : 99 3 : 99 3 : 99 3 : 99 3 : 99
VaR_ 1 : 99 1 : 99 1 : 99 1 : 99 1 : 99
VIX 3 : 99 3 : 99
CLUSTt − 1 0.103*** 0.111*** 0.114*** 0.102*** 0.101***
(0.014) (0.015) (0.008) (0.014) (0.014)
CLUSTt − 2 0.062*** 0.074*** 0.077*** 0.061*** 0.063***
(0.016) (0.015) (0.006) (0.016) (0.016)
VaR_dev 0.001 -0.056** -0.023 0.014 -0.003
(0.026) (0.023) (0.019) (0.026) (0.025)
VaR_chg 0.018
(0.031)
MKTF 0.053 0.113** 0.059 0.043 0.192***
(0.050) (0.054) (0.043) (0.050) (0.071)
MKTFt − 1 0.175*** 0.174*** 0.128*** 0.149*** 0.174***
(0.045) (0.045) (0.039) (0.050) (0.046)
VIX 0.178** 0.095 -0.038 0.122 0.237***
(0.073) (0.070) (0.076) (0.093) (0.076)
VIXt − 1 0.380*** 0.326*** 0.359*** 0.374*** 0.343***
(0.099) (0.103) (0.079) (0.098) (0.100)
VIXt − 2 -0.258*** -0.305*** -0.270*** -0.249*** -0.261***
(0.062) (0.065) (0.056) (0.064) (0.063)
Results for MOM, MCAP and ILLIQ are on the next page.
No. IVs 172 316 246 178 178
Sargan stat 177.475 242.396 239.030 175.007 185.105
DF 158 301 229 161 161
p-value 0.138 0.994 0.311 0.203 0.094
AR(1) 0.000 0.000 0.000 0.000 0.000
AR(2) 0.719 0.528 0.459 0.716 0.665
corr2(y, ŷ) 0.181 0.188 0.193 0.174 0.181
2009 2010
2-7 (lr)8-13 1 3 5 7 9 11 1 3 5 7 9 11
MAD  = = +=  = =  = =  = =  = − −−  = − ++ ++ ++  = +
Variance  = = ++ ++  = + ++  = =  = =  = = ++ ++ ++ ++
Skewness  = =  = =  = = ++  = =  = = +=  = =  = =  = = ++ ++
Kurtosis ++  = = ++ ++ ++ += += ++  = =  = = ++ ++
2011 2012
2-7 (lr)8-13 1 3 5 7 9 11 1 3 5 7 9 11
MAD  = =  = =  = = ++  = = ++  = =  = =  = =  = =  = =  = =
Variance  = =  = =  = = ++ ++ ++  = = +=  = =  = =  = = +=
Skewness ++  = = ++ ++ ++  = =  = =  = =  = =  = =  = =  = =
Kurtosis ++ ++ ++ +=  = =  = =  = =  = =  = =  = =  = =  = =
2013 2014
2-7 (lr)8-13 1 3 5 7 9 11 1 3 5 7 9 11
MAD ++  = =  = =  = +  = = ++ ++ ++ ++ ++ ++  = =
Variance ++ ++ ++ ++ += ++ ++ ++ ++ ++ ++ +=
Skewness  = =  = = +=  = = ++  = = ++ ++  = = ++ += +=
Kurtosis  = = += ++  = = ++ ++ ++ ++  = + ++ ++  = =
N.Obs. Mean Median St.dev. Min Max Between Within
VaR_dev 16216 6.43 0.00 45.80 -75.06 795.32 0.595 0.007
VaR_chg 16216 -0.80 0.00 7.68 -39.10 82.10 0.010 0.356
VLuck_chg 16216 -0.50 0.00 7.69 -59.74 98.78 0.011 0.190
CLUST 15896 0.04 0.06 0.28 -1.00 6.58 0.245 0.041
MKTF 16216 1.09 1.02 5.97 -12.33 13.86 0.003 1.000
VIX 16216 21.09 18.38 8.12 11.40 46.35 0.052 1.000
MOM 16204 0.64 0.71 3.48 -18.88 27.71 0.106 0.338
MCAP 16216 7.06 6.99 2.15 0.93 12.21 0.970 0.004
ILLIQ 16051 -3.66 -4.40 4.47 -13.82 12.48 0.957 0.007
PB3 15025 1.95 1.35 2.50 0.05 71.67 0.470 0.010
DY 16216 2.88 2.15 4.53 0.00 157.78 0.303 0.032
LEV3 15916 26.39 25.35 20.42 0.00 159.01 0.813 0.007
2009 2010 2011 2012 2013 2014
a) MAD $`==`$ $`==`$ $`==`$ $`==`$ $`==`$ $`++`$
Variance $`+=`$ $`=+`$ $`++`$ $`==`$ $`++`$ $`++`$
Skewness $`+=`$ $`++`$ $`++`$ $`==`$ $`++`$ $`++`$
Kurtosis $`++`$ $`++`$ $`++`$ $`++`$ $`++`$ $`++`$
b) Hill index neg. $`-=`$ $`==`$ $`=-`$ $`==`$ $`==`$ $`==`$
Hill index pos. $`--`$ $`--`$ $`--`$ $`==`$ $`--`$ $`--`$
c) Outliers neg. $`\neq`$$`=`$ $`=`$$`=`$ $`=`$$`=`$ $`=`$$`=`$ $`=`$$`=`$ $`\neq`$$`=`$
Outliers pos. $`\neq`$$`+`$ $`\neq`$$`+`$ $`\neq`$$`+`$ $`=`$$`=`$ $`\neq`$$`+`$ $`\neq`$$`+`$