Analyst recommendations and volatility in a rising, falling, and crisis equity market

The impact of analyst recommendations on equity market volatility is examined for the Greek market. Building on prior research showing an asymmetric impact of recommendations in rising and falling markets, this study extends the investigation to three market states, through including a crisis market period for Greece. Sell recommendations are shown to increase volatility, while the influence of buy recommendations depends on market state. Importantly, the crisis market period shows a marked decrease in the explanatory power of the model. A comparison with the German market is provided.