The Ups & Downs of the Stock Market: Is This Time Different?
AbstractThe stock market is widely viewed as being more volatile these days. This paper examines that perception using data from the past 40 years. It finds surprising consistency across years in the number of days the market closes up and down. In an average year the market closes down 47% of all trading days, and there is little variation across years. Consecutive up and down days are not common. The biggest change identified is that in recent decades the number of days with large one-day moves (moves up or down more than 1% or 2%) has risen, but days with large one-day up moves exceed days with large one-day down moves. The market’s performance in a year has little relation to the exact mix of up and down days.
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Bibliographic InfoPaper provided by The Mutual Fund Research Center® in its series Working Papers with number 1.
Length: 13 pages
Date of creation: Sep 2010
Date of revision:
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Web page: http://www.mutualfundstore.com
Stock market; Volatility;
Find related papers by JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G19 - Financial Economics - - General Financial Markets - - - Other
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