Stock Volatility and the Crash of ’87

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ID: 298646
1990
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Abstract
This article analyzes the behavior of stock return volatility using daily data from 1885 through 1988. The October 1987 stock market crash was unusual in many ways. October 19 was the largest percentage change in market value in over 29,000 days. Stock volatility jumped dramatically during and after the crash. Nevertheless, it returned to lower, more normal levels more quickly than past experience predicted. I use data on implied volatilities from call option prices and estimates of volatility from futures contracts on stock indexes to confirm this result.
Reference Key
openalex_W3122310799 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors G. William Schwert
Journal review of financial studies
Year 1990
DOI
10.1093/rfs/3.1.77
URL
https://doi.org/10.1093/rfs/3.1.77
Keywords Keywords not found

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