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Stock Volatility During the Recent Financial Crisis

Stock Volatility During the Recent Financial Crisis
Author: G. William Schwert
Publisher:
Total Pages: 15
Release: 2011
Genre: Economics
ISBN:

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Abstract: This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 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 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading


Stock Volatility During the Recent Financial Crisis

Stock Volatility During the Recent Financial Crisis
Author: G. William Schwert
Publisher:
Total Pages: 0
Release: 2011
Genre: Economics
ISBN:

Download Stock Volatility During the Recent Financial Crisis Book in PDF, ePub and Kindle

This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 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 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading.


Beast on Wall Street

Beast on Wall Street
Author: Robert A. Haugen
Publisher: Pearson
Total Pages: 166
Release: 1999
Genre: Actions (Titres de société)
ISBN:

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It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.


Stock Market Volatility

Stock Market Volatility
Author: Greg N. Gregoriou
Publisher: CRC Press
Total Pages: 654
Release: 2009-04-08
Genre: Business & Economics
ISBN: 1420099558

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Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel


Anatomy of Global Stock Market Crashes

Anatomy of Global Stock Market Crashes
Author: Gagari Chakrabarti
Publisher: Springer Science & Business Media
Total Pages: 69
Release: 2012-01-05
Genre: Business & Economics
ISBN: 8132204638

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This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.


Options for Volatile Markets

Options for Volatile Markets
Author: Richard Lehman
Publisher: John Wiley & Sons
Total Pages: 224
Release: 2011-08-09
Genre: Business & Economics
ISBN: 1118022262

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Practical option strategies for the new post-crisis financial market Traditional buy-and-hold investing has been seriously challenged in the wake of the recent financial crisis. With economic and market uncertainty at a very high level, options are still the most effective tool available for managing volatility and downside risk, yet they remain widely underutilized by individuals and investment managers. In Options for Volatile Markets, Richard Lehman and Lawrence McMillan provide you with specific strategies to lower portfolio volatility, bulletproof your portfolio against any catastrophe, and tailor your investments to the precise level of risk you are comfortable with. While the core strategy of this new edition remains covered call writing, the authors expand into more comprehensive option strategies that offer deeper downside protection or even allow investors to capitalize on market or individual stock volatility. In addition, they discuss new offerings like weekly expirations and options on ETFs. For investors who are looking to capitalize on global investment opportunities but are fearful of lurking "black swans", this book shows how ETFs and options can be utilized to construct portfolios that are continuously protected against unforeseen calamities. A complete guide to the increased control and lowered risk covered call writing offers active investors and traders Addresses the changing investment environment and how to use options to succeed within it Explains how to use options with exchange-traded funds Understanding options is now more important than ever, and with Options for Volatile Markets as your guide, you'll quickly learn how to use them to protect your portfolio as well as improve its overall performance.


Financial Crises

Financial Crises
Author: Stelios Markoulis
Publisher: BoD – Books on Demand
Total Pages: 118
Release: 2021-01-14
Genre: Business & Economics
ISBN: 1789238579

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This book on financial crises is written at a time when the whole world is facing another crisis, a different one this time; one that is related to our health, as well as the economy in a painful manner. The first chapter of this book focuses on the economic effects of this crisis with particular emphasis on the financial sector. The remainder of the book presents a selection of readings related to the GFC. These touch upon issues such as corporate governance; the effect of the collapse of the Lehman Brothers on the net-worth of financial and non-financial firms; securitization and why the alchemy “did not work”; and finally, a case-study on Turkey and in particular the Turkish short-term interest rates and exchange rates and their relationship to political developments.


FINANCIAL CRISIS AND VOLATILITY OF STOCK MARKET AND FOREIGN EXCHANGE MARKET

FINANCIAL CRISIS AND VOLATILITY OF STOCK MARKET AND FOREIGN EXCHANGE MARKET
Author: Das Soma
Publisher: Soma Das
Total Pages: 0
Release: 2023-01-02
Genre: Business & Economics
ISBN: 9785805664633

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Analysis of stock market for the assessment of the risk has assumed greater significance in india, after liberalization. Usefulness of efficident stock market in mobilzing resources is well-known among policy makers and investors. Volatility In the prices of stock adversely affects individual earnings and health of the economy. Volatility in the price of stock market can arise because of several reasons. It creates atmosphere of uncertainty and thus it hampers productive investment. Volatility is inherent feature of stock markets. It should be known to those who are concerned directly and indirectly with stock markets. Volatility of stock prices refers to the frequency with which changes in stock prices over a given period of time. The volatility can also be understood as the frequency or relative rate at which the price of a security moves up and down. Volatility Is found by calculating the annualized standard deviation of daily change in price. Standard deviation of return is widely used as a measure of total risk of a financial asset. If a stock is highly volatile, there is risk of losing capital and thus investors tend to avoid Investing in these stocks.