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Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period Author info | Abstract | Publisher info | Download info | Related research | Statistics Voth, Hans-Joachim
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The extreme levels of stock price volatility found during the Great Depression have often been attributed to political uncertainty. This Paper performs an explicit test of the Merton/Schwert hypothesis that doubts about the survival of the capitalist system were partly responsible. It does so by using a panel data set on political unrest, demonstrations and other indicators of instability in a set of 10 developed countries during the interwar period. Fear of worker militancy and a possible revolution can explain a substantial part of the increase in stock market volatility during the Great Depression.
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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
3254.
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Date of creation: Mar 2002Date of revision:
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Keywords: great depression political uncertainty stock price volatility worker militancy Other versions of this item:
Find related papers by JEL classification: E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions G12 - Financial Economics - - General Financial Markets - - - Asset Pricing G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation N12 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - U.S.; Canada: 1913- N14 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - Europe: 1913- N22 - Economic History - - Financial Markets and Institutions - - - U.S.; Canada: 1913- N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
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