EconPapers    
Economics at your fingertips  
 

Stock Volatility in the New Millennium: How Wacky Is Nasdaq?

G. Schwert

No 8436, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor that seems to explain unusual volatility best is technology, not firm size or the immaturity of the firm.

JEL-codes: G14 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fin and nep-fmk
Date: 2001-08
Note: AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Published as Schwert, G. William. "Stock Volatility In The New Millennium: How Wacky Is Nasdaq?," Journal of Monetary Economics, 2002, v49(1,Jan), 3-26.

Downloads: (external link)
http://www.nber.org/papers/w8436.pdf (application/pdf)

Related works:
Journal Article: Stock volatility in the new millennium: how wacky is Nasdaq? (2002) Downloads
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:nbr:nberwo:8436

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w8436

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2019-07-29
Handle: RePEc:nbr:nberwo:8436