Stock Volatility and the Crash of '87

34 Pages Posted: 4 Jul 2004 Last revised: 30 Jul 2010

See all articles by G. William Schwert

G. William Schwert

University of Rochester - Simon Business School; National Bureau of Economic Research (NBER)

Date Written: May 1989

Abstract

This paper analyzes the behavior of stock return volatility using daily data from 1885 through 1987. The October 1987 stock market crash was unusual in many ways relative to prior history. In particular, stock volatility jumped dramatically during and after the crash, but it returned to lower. more normal levels quickly. I use data on implied volatilities from call option prices and estimates of volatility from futures contracts on stock indexes to confirm this result.

Suggested Citation

Schwert, G. William, Stock Volatility and the Crash of '87 (May 1989). NBER Working Paper No. w2954. Available at SSRN: https://ssrn.com/abstract=406041

G. William Schwert (Contact Author)

University of Rochester - Simon Business School ( email )

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HOME PAGE: http://schwert.ssb.rochester.edu

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