A re-examination of firm, industry and market volatilities

Alex Lebedinsky and Nicholas Wilmes

The Quarterly Review of Economics and Finance, 2018, vol. 67, issue C, 113-120

Abstract: In updating Campbell et al. (2001) we find evidence that the level of idiosyncratic volatility, industry-specific volatility, and market volatility have increased to their highest levels in 50 years during the 21st century. Our findings show that while the 2007–2008 Financial Crisis led to large spikes in all three measures of volatility, the Tech Bubble of early 2000’s led to an even greater increase in firm and industry volatilities than the Financial Crisis. By 2010, volatilities mostly returned to their pre-crisis levels. We also find evidence that the average correlation among stocks, which decreased during 1960–2000 period, has been increasing steadily since early 2000’s.

Keywords: Financial crisis; Industry volatility; Market volatility; Idiosyncratic volatility (search for similar items in EconPapers)
JEL-codes: G01 G10 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976917300650
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:67:y:2018:i:c:p:113-120

DOI: 10.1016/j.qref.2017.05.005

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().