Why Does Stock Market Volatility Change Over Time?

72 Pages Posted: 5 Jul 2004 Last revised: 26 Aug 2010

G. William Schwert

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

Date Written: December 1988

Abstract

This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, financial leverage, stock trading activity, default risk, and firm profitability using monthly data from 1857-1986. An important fact, previously noted by Officer [l973], is that stock return variability was unusually high during the 1929-1940 Great Depression. Moreover, leverage has a relatively small effect on stock volatility. The amplitude of the fluctuations in aggregate stock volatility is difficult to explain using simple models of stock valuation.

Suggested Citation

Schwert, G. William, Why Does Stock Market Volatility Change Over Time? (December 1988). NBER Working Paper No. w2798. Available at SSRN: https://ssrn.com/abstract=447222

G. William Schwert (Contact Author)

University of Rochester - Simon Business School ( email )

Carol Simon Hall 3-110L
Rochester, NY 14627
United States
585-275-2470 (Phone)
585-461-5475 (Fax)

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

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
234
rank
118,139
Abstract Views
3,692
PlumX