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Why Does Stock Market Volatility Change Over Time?

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Author Info
G. William Schwert

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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.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2798.

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Date of creation: Mar 1990
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Handle: RePEc:nbr:nberwo:2798

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