Stock volatility during the recent financial crisis
Read Online
Share

Stock volatility during the recent financial crisis

  • 117 Want to read
  • ·
  • 85 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Book details:

Edition Notes

StatementG. William Schwert
SeriesNBER working paper series -- working paper 16976, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16976.
ContributionsNational Bureau of Economic Research
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL24899488M
LC Control Number2011657193

Download Stock volatility during the recent financial crisis

PDF EPUB FB2 MOBI RTF

Financial Management Association meeting in June Stock Volatility during the Recent Financial Crisis G. William Schwert William E. Simon Graduate School of Business Administration, University of Rochester and the National Bureau of Economic Research E-mail: [email protected] Abstract. Stock markets display historically high levels of volatility after the breakout of the financial crisis in late (Schwert, ). In particular, the green portfolio displays high levels of Author: G. William Schwert. Get this from a library! Stock volatility during the recent financial crisis. [G William Schwert; National Bureau of Economic Research.] -- This paper uses monthly returns from , daily returns from , and intraday returns from in the United States to show how stock volatility has changed over time. It also uses. Downloadable! This paper uses monthly returns from , daily returns from , and intraday returns from in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting to happen in the months following the financial crisis in late

  Stock Volatility during the Recent Financial Crisis Stock Volatility during the Recent Financial Crisis Schwert, G. William “We are in the worst financial crisis since the Great Depression, and a lot of you I think are worried about your jobs, your pensions, your retirement accounts.” Democratic presidential candidate Barack Obama as he opened a debate with Republican.   Stock Volatility During the Recent Financial Crisis European Financial Management, Vol. 17, Issue 5, pp. , Number of pages: 17 Posted: 19 Oct   The annualized volatility values for the VIX, VIX Futures and VXV for the Crisis period were 34%, 50% and 33% higher than the Pre-Crisis period volatilities. For the Post-Crisis period, the volatilities of VIX, VIX Futures and VXV were 87%, % and 77% respectively of . Focusing on the global financial crisis in , we analyze the evolution of financial analysts’ performance on Canadian stock markets from to We consider the quality and the accuracy of earnings forecasts to “investigate one possible source of rationality” during a major crisis on financial markets. Our results report.

Publications "Fellow of the American Finance Association for " Journal of Finance, 74 (June ) PDF file available. "Stock Volatility during the Recent Financial Crisis" NBER Working Paper No. W, European Financial Management, 17 () PDF file available. Selected as the Reader's Choice Award for by the readers of European Financial Management. and Ion () nd that high stock volatility is associated with high policy uncertainty, reducing investment, output, and employment. Engle et al. () show that stock market volatility is related with output and in ation uncertainty. Similarly, in the real options literature, high volatility increases the value of an option to invest, delaying.   – The purpose of this paper is to empirically examine stock returns behavior during financial crises for an emerging market from to The authors identify episodes of significant price declines “crashes” and watch the stock price behavior during these episodes., – This paper examines seven historical episodes of stock market crashes and their aftermath in the ASE over the . The effects of corporate governance on the stock return volatility: During the financial crisis February International Journal of Law and Management 60(1)