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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
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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.

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