Why does stock market volatility change over time journal of finance

NBER Working Paper No. 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 An important fact, previously noted by Officer [l], is that stock return variability was unusually high during the Great Depression.

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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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Why Does Stock Market Volatility Change Over Time? - SCHWERT - - The Journal of Finance - Wiley Online Library

William Schwert NBER Working Paper No. ME 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 Schwert w Business Cycles, Financial Crises, and Stock Volatility Schwert and Seguin w Heteroskedasticity in Stock Returns Bernanke and Gertler w Monetary Policy and Asset Price Volatility Schwert w Stock Market Volatility: National Bureau of Economic Research, Massachusetts Ave.

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Why Does Stock Market Volatility Change Over Time?

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