Basic Analysis of Relative Volatility

John Board, Alfonso Dufour, Yusuf Hartavi, Charles Sutcliffe and Stephen Wells
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John Board: Henley Business School, University of Reading
Yusuf Hartavi: Henley Business School, University of Reading
Stephen Wells: Henley Business School, University of Reading

Chapter 8 in Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, 2015, pp 54-57 from Palgrave Macmillan

Abstract: Abstract First, we conducted an analysis of comparable stocks that did not switch markets. A simple ratio analysis comparing the annual volatility of AIM and Main Market stocks showed AIM to be substantially more volatile than the Main Market. The volatility of AIM stocks ranged from 1.3 to 2.7 times that of comparable Main Market stocks, and was particularly high in 2005 and 2006.

Keywords: Market Volatility; Relative Volatility; Volatility Measure; Credit Crisis; Volatility Estimate (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-36130-1_8

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DOI: 10.1057/9781137361301_8

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