Download This Paper150 Years of Financial Market Volatility
15 Pages Posted: 13 Jun 2012
Date Written: September 1, 2006
Abstract
This paper investigates the behaviour of the volatility of returns in bond and stock markets for a sample of eight countries using very long samples of data. Volatility has been high during episodes of economic and political turbulence, in particular during the interwar period. Moreover, volatility has generally been high since the early 1970s.
JEL Classification: G1, G2
Suggested Citation: Suggested Citation
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