| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w6381
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| 来源ID | Working Paper 6381
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| Stock Market Volatility: Ten Years After the Crash |
| G. William Schwert
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| 发表日期 | 1998
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| 出版年 | 1998
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| 语种 | 英语
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| 摘要 | Stock volatility has been unusually low since the 1987 stock market crash. The large increase in stock prices since 1987 means that many days during 1996 and 1997 experienced near record changes in the Dow Jones Industrial Average, even though the volatility of stock returns has not been high by historical standards. I compare volatility of returns to U.S. stock indexes at monthly, daily, and intraday intervals, and I also show the volatility of returns to stock indexes implied by traded options contracts. Finally, I compare the volatility of U.S. stock market returns with the volatility of returns to stock markets in the United Kingdom Australia, and Canada. All of the evidence leads to the conclusion that volatility has been very low in the decade since the 1987 crash. The mini-crash of October 27 to reevaluate the current system of circuit breakers so that they are triggered less easily. Part of the problem is caused by trigger points that are expressed as absolute changes in market indexes. |
| 主题 | Financial Economics
; Financial Markets
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| URL | https://www.nber.org/papers/w6381
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563885
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推荐引用方式
GB/T 7714 |
G. William Schwert. Stock Market Volatility: Ten Years After the Crash. 1998.
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文件名：
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w6381.pdf
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格式：
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Adobe PDF
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