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| Tekijä: | Harris, L. |
| Otsikko: | S & P 500 cash stock price volatilities |
| Lehti: | Journal of Finance
1989 : DEC, VOL. 44:5, p. 1155-1175 |
| Asiasana: | STOCK MARKETS PRICES INVENTORY CONTROL RATE OF RETURN TRADE |
| Kieli: | eng |
| Tiivistelmä: | S & P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross-sectional differences in firm attributes. No significant difference in volatility is observed between 1975 and 1983, before the start of trade in index futures and index options. Since then, S & P 500 stocks have been relatively more volatile. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatility. |
SCIMA