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Stock Volatility in the New Millennium: How Wacky Is Nasdaq?

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  • G. William Schwert

Abstract

The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor that seems to explain unusual volatility best is technology, not firm size or the immaturity of the firm.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 8436.

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Date of creation: Aug 2001
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Publication status: published as Schwert, G. William. "Stock Volatility In The New Millennium: How Wacky Is Nasdaq?," Journal of Monetary Economics, 2002, v49(1,Jan), 3-26.
Handle: RePEc:nbr:nberwo:8436

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