Speculative Trading and Stock Market Volatility

Johnathan D. Jones, J. Harold Mulherin and Sheridan Titman

University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA

Abstract: This paper examines whether speculative activity has an effect on stock market volatility. With data from 1919 to 1987, we analyze the relation between stock return volatility, estimated from the daily Dow Jones price index, and indicators of speculative activity, including expected share turnover and the growth rate in margin credit. The analysis finds no destabilizing effect of speculation in the post-World War II period or in the period prior to the 1929 Crash. However, we do find evidence of a relation between speculation and volatility during 1934-36, a period in which prior research has found significant mean reversion in stock returns. -FOR REFERENCES GO HERE: http://www.anderson.ucla.edu/acad_unit/finance/wp/1990/18-90app.pdf

Date: 1990-01-01
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.escholarship.org/uc/item/6kb972xv.pdf;origin=repeccitec (application/pdf)

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:cdl:anderf:qt6kb972xv

Access Statistics for this paper

More papers in University of California at Los Angeles, Anderson Graduate School of Management from Anderson Graduate School of Management, UCLA Contact information at EDIRC.
Bibliographic data for series maintained by Lisa Schiff ().