The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Stock Volatility and the Crash of ’87
Open accessAbstract
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.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
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SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Self-citationAnswering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
Antweiler, W., & Frank, M. Z. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00662.x · Cited by 2,373
Campbell, J. Y., & Hentschel, L. (1992) · Journal of Financial Economics · doi:10.1016/0304-405x(92)90037-x · Cited by 1,926
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, P. R., & Lunde, A. (2005) · Journal of Applied Econometrics · doi:10.1002/jae.800 · Cited by 1,773
Metadata
- Authors
- Schwert, G. W.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1990-01
- Volume
- 3
- Issue
- 1
- Pages
- 77-102
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W105097415
- Cited by
- 1,044
- References
- 1
- FWCI
- 33.60
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
