The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
The Persistence of Volatility and Stock Market Fluctuations
Open accessAbstract
This paper examines the potential influence of changing volatility in stock market prices on the level of stock market prices.It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist.These shocks can therefore have only a sinai].impact on stock market prices, since changes in volatility affect expected required rates of return for relatively short intervals.These findings lead us to be skeptical of recent claims that the stock market's poor performance during the 1970's can be explained by volatility-induced increases in risk premia.
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Modelling the persistence of conditional variances
Engle, R. F., & Bollerslev, T. (1986) · Econometric Reviews · doi:10.1080/07474938608800095 · Cited by 2,058
Stock Volatility and the Crash of ’87
Schwert, G. W. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.1.77 · Cited by 1,044
Option values under stochastic volatility: Theory and empirical estimates
Wiggins, J. B. (1987) · Journal of Financial Economics · doi:10.1016/0304-405x(87)90009-2 · Cited by 904
Volatility in Emerging Stock Markets
Aggarwal, R., Inclan, C., & Leal, R. (1999) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676245 · Cited by 734
Metadata
- Authors
- Poterba, J., & Summers, L.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1984-09
- Volume
- 76
- Issue
- 5
- Pages
- 1142-1151
- OpenAlex
- W1606342119
- Cited by
- 251
- References
- 1
- Type
- report
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: The Persistence of Volatility and Stock Market Fluctuations. https://app.cochat.ai/papers/10.3386/w1462
- The paper
- Poterba, J., & Summers, L. (1984). The Persistence of Volatility and Stock Market Fluctuations. National Bureau of Economic Research. https://doi.org/10.3386/w1462
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.
