Investigating the Behavior of Ldiosyncratic Volatility

Investigating the conduct of Idiosyncratic capriciousness Author(s): Yexiao Xu and Burton G. Malkiel Reviewed work(s): Source: The ledger of Business, Vol. 76, no(prenominal) 4 (October 2003), pp. 613-645 Published by: The University of Chicago Press static universal resource locator: http://www.jstor.org/stable/10.1086/377033 . Accessed: 05/09/2012 06:16 Your ingestion of the JSTOR archive indicates your acceptance of the cost & Conditions of Use, available at . http://www.jstor.org/ paginate/info/ just intimately/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and soma upon a wide mark of content in a trusted digital archive. We use information technology and tools to give productivity and facilitate innovative forms of scholarship. For more information about JSTOR, please contact clog@jstor.org. . The University of Chicago Press is collaborating with JSTOR to digitize, wield and extend access to The Journal of Business. http://www.jstor.org Yexiao Xu University of Texas at Dallas Burton G. Malkiel Princeton University Investigating the Behavior of Idiosyncratic Volatility* I. Introduction Considerable trouble has been given over in the ?nancial press to the add in stock foodstuff volatility during the late 1990s.

The facts suggest, however, that this assist has been misplaced. As shown ?rst by Schwert (1989), no long-run uptrend is evident for the volatility of the market as a solely. The volatility of the market during the late 1990s, era larger t han it was former in the decade, was still! considerably below the volatility preserve during earlier periods of the century. What has received far less attention is the look of the volatility of individual stocks. The volatility of individual stocks can change magnitude even when the volatility of the market as a whole carcass stable, as long as correlations among stocks are declining. In this study, we show from a different perspective and...If you want to bulge a all-inclusive essay, order it on our website: BestEssayCheap.com

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