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Cited by 3,427

The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.

Why Does Stock Market Volatility Change Over Time?

SCHWERT, G. WILLIAM·1989·The Journal of Finance
DOI 10.1111/j.1540-6261.1989.tb02647.x
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Abstract

This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, economic activity, financial leverage, and stock trading activity using monthly data from 1857 to 1987. An important fact, previously noted by Officer (1973), is that stock return variability was unusually high during the 1929–1939 Great Depression. While aggregate leverage is significantly correlated with volatility, it explains a relatively small part of the movements in stock volatility. The amplitude of the fluctuations in aggregate stock volatility is difficult to explain using simple models of stock valuation, especially during the Great Depression.

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Crossref · 10.1111/j.1540-6261.1989.tb02647.x

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Metadata

Authors
SCHWERT, G. W.
Venue
The Journal of Finance
Publisher
Wiley
Published
1989-12
Volume
44
Issue
5
Pages
1115-1153
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1989.tb02647.x
OpenAlex
W3022041122
Cited by
3,427
References
46
FWCI
49.92
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Why Does Stock Market Volatility Change Over Time? https://app.cochat.ai/papers/10.1111/j.1540-6261.1989.tb02647.x
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SCHWERT, G. W. (1989). Why Does Stock Market Volatility Change Over Time? The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1989.tb02647.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

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.