help scrashversion 1.0

Title

scrash - Calculate quarterly stock crash risk measures (NCSKEW and DUVOL)

Syntax

scrash [using]

[, SAVEpath(string) SHEETnames(string)

MARKETvars(string) MINdays(integer) clear]

SAVEpath(string) save directory path

SHEETnames(string) Excel sheet names

MARKETvars(string) market variable names

MINdays(integer) minimum trading days requirement

clear clear memory before execution

Description

scrash calculates quarterly stock crash risk measures (NCSKEW and DUVOL)
using daily return data. The command processes individual stock returns and
market returns from Excel files, performs required data transformations,
and outputs quarterly crash risk measures.

Options

SAVEpath(string) specifies the directory where results will be saved.
Default is current working directory. May be abbreviated to SAVE.

SHEETnames(string) specifies Excel sheet names containing individual
stock returns (first N-1 sheets) and market returns (last sheet).
Default is "Sheet1 Sheet2". May be abbreviated to SHEET.

MARKETvars(string) specifies market identifier and return variables.
Default is "market mret". May be abbreviated to MARKET.

MINdays(integer) specifies minimum trading days required per quarter.
Default is 30. May be abbreviated to MIN.

clear clears memory before command execution. May be abbreviated to c.

Examples

Calculate quarterly crash risk with default settings:

. scrash using returns.xlsx

With custom save path and sheet names:

. scrash using returns.xlsx, save(./results/) sheet(Stocks Market)

With minimum 50 trading days requirement:

. scrash using returns.xlsx, min(50)

Stored results

The command saves:

- quarterly_crash_dataset.dta: merged dataset

- scrashrisk.dta: intermediate data with residuals

- quarterly_crash_risk.dta: final results with NCSKEW and DUVOL

Authors

Wu Lianghai

School of Business, Anhui University of Technology(AHUT), Ma'anshan, China

agd2010@yeah.net

Wu Hanyan

School of Economics and Management, Nanjing University of Aeronautics and Astronautics(NUAA), China

2325476320@qq.com

Ding Ming

School of Business, Anhui University of Technology(AHUT), Ma'anshan, China

dingming0417@163.com

Also see

crash --
Calculate weekly stock crash risk measures