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S&P 500 Cash Stock Price Volatilities.
- Source :
- Journal of Finance (Wiley-Blackwell); Dec1989, Vol. 44 Issue 5, p1155-1175, 21p
- Publication Year :
- 1989
-
Abstract
- S&P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross-sectional differences in firm attributes known to affect volatility. No significant difference in volatility is observed between 1975 and 1983- before the start of trade in index futures and index options. Since then, S&P 500 stocks have been relatively more volatile. The difference is statistically, but not economically, significant. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatility. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00221082
- Volume :
- 44
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Journal of Finance (Wiley-Blackwell)
- Publication Type :
- Academic Journal
- Accession number :
- 4649526
- Full Text :
- https://doi.org/10.2307/2328637