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An analysis of changes in aggregate stock market volatility / BEBR No.557

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Title: An analysis of changes in aggregate stock market volatility / BEBR No.557
Author(s): Reilly, Frank K.; Wachowicz, John Martin, joint author.
Contributor(s): University of Illinois at Urbana-Champaign. College of Commerce and Business Administration.
Subject(s): Stocks -- Prices.
Issue Date: Apr 5 1979
Publisher: [Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,
Series/Report: Faculty working papers ; no. 557
Type: Text
Language: English
Description: Includes bibliographical references."General price studies on the level of volatility for aggregate stock market have derived conflicting results. Using daily stock price changes for the period 1926-1975, the paper examines the characteristics of the distribution of daily stock price changes. Subsequently we examined changes in several measures of stock price volatility. The results indicated significant changes over time and especially in 1973-1975."
URI: http://hdl.handle.net/2142/26866
Rights Information: In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact digicc@library.illinois.edu for information.Copyright Apr 5 1979 Board of Trustees University of Illinois.
Date Available in IDEALS: 2011-09-15
Has Version(s): http://hdl.handle.net/10111/UIUCOCA:analysisofchange557reil http://www.archive.org/details/analysisofchange557reil
Identifier in Online Catalog: 353469
OCLC Identifier: (OCoLC)ocm05577749
 

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