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An analysis of changes in aggregate stock market volatility

by: Reilly, Frank K; Wachowicz, John Martin, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration

Publication date: 1979

Topics: Stocks

Publisher: [Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign

Collection: university_of_illinois_urbana-champaign; americana

Contributor: University of Illinois Urbana-Champaign

Language: English

Volume: BEBR No.557

Includes bibliographical references

"General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975."

Addeddate: 2011-06-13 14:20:55

Associated-names: Wachowicz, John Martin, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration