The increasing volatility of the stock market?

Kenneth M. Washer, Randy Jorgensen, Robert R. Johnson

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This study provides a rigorous examination of historical stock price volatility. We measure changes in the variability of equity returns on a daily and monthly basis and test whether volatility has changed over the period 1926 through 2014. Our results are of importance to practitioners, individual investors, policy makers, and the press and address the widely held perception among market participants and the general public that stock market volatility has increased over time. Our results suggest this belief is accurate, but only when volatility is measured on a daily basis. When measured using monthly increments, there has been no discernable change in return volatility. This is likely good news for both traders and investors. Traders are active on a daily basis and can profit from larger movements in the market, thus the slight increase in daily volatility is likely both important to them and viewed positively. Long term investors can take comfort that many of the large daily price declines are at least partially offset by similar price increases and that, when measured over longer periods, volatility has not increased.

Original languageEnglish
Pages (from-to)71-82
Number of pages12
JournalJournal of Wealth Management
Volume19
Issue number1
DOIs
StatePublished - Jun 1 2016

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Stock market
Traders
Investors
News
Politicians
Return on equity
Return volatility
Profit
Long period
Stock market volatility
Individual investors
Stock price volatility

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics
  • Finance

Cite this

The increasing volatility of the stock market? / Washer, Kenneth M.; Jorgensen, Randy; Johnson, Robert R.

In: Journal of Wealth Management, Vol. 19, No. 1, 01.06.2016, p. 71-82.

Research output: Contribution to journalArticle

Washer, Kenneth M. ; Jorgensen, Randy ; Johnson, Robert R. / The increasing volatility of the stock market?. In: Journal of Wealth Management. 2016 ; Vol. 19, No. 1. pp. 71-82.
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