An analysis of changes in aggregate stock market volatility
By: Frank K. Reilly, John M. Wachowicz
Contributors: Wachowicz, John Martin, joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: Faculty working papers -- no. 557; Faculty working papers -- no. 557.
Publisher: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign
Published: 1979
Place of publication: [Urbana, Ill.]
Language: eng
Number of pages: 78
Subjects: Prices; Stocks
Description: "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."
Notes: Includes bibliographical references.