Investigating the Behavior of Ldiosyncratic Volatility

Investigating the deportment of idiosyncratic capriciousness Author(s): Yexiao Xu and Burton G. Malkiel Reviewed work(s): Source: The daybook of Business, Vol. 76, no(prenominal) 4 (October 2003), pp. 613-645 Published by: The University of scratch Press Stable universal imagination locator: http://www.jstor.org/stable/10.1086/377033 . Accessed: 05/09/2012 06:16 Your uptake of the JSTOR archive indicates your acceptance of the monetary value & Conditions of Use, available at . http://www.jstor.org/ pageboy/info/ just virtually/policies/terms.jsp . JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, intent, and develop upon a wide tick of content in a trusted digital archive. We use information technology and tools to minimal brain damage productivity and facilitate advanced forms of scholarship. For more information closely JSTOR, please contact congest@jstor.org. . The University of Chicago Press is collaborating with JSTOR to digitize, salvage and extend access to The daybook 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 capacious trouble has been given in the ?nancial press to the add in stock foodstuff irritability 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 homely for the volatility of the food market as a whole. The volatility of the market during the late 1990s, era big than it was earlier in the decade, was comfort considerably below the volatility record during earlier periods of the century. What has received far less attention is the behavior of the volatility of soulfulness stocks. The volatility of individual stocks can increase flush 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 diverse perspective and...If you want to ram a all-inclusive essay, ready it on our website: Ordercustompaper.com

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