Stock volatility in the new millennium: how wacky is Nasdaq?

• 成果类型: Article
• 署名作者: Schwert, GW
• 署名单位: University of Rochester; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• 发表日期: 2002
• 页码: 3-26
• 关键词: volatility; Nasdaq; IPO

摘要

The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation to the more seasoned issues reflected in the Standard & Poor's 500 portfolio. It also analyzes the relation of the unusual Nasdaq volatility to the hot IPO market in 1998 and 1999. The factor that seems to explain unusual volatility best is technology, not firm size or the immaturity of the firm. (C) 2002 Elsevier Science B.V. All rights reserved.