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Alternative explanations of the volatility trend : Are they really that different?

Rubin, Amir & Smith, Daniel (2009) Alternative explanations of the volatility trend : Are they really that different? In Alternative explanations of the volatility trend : Are they really that different?, University of Queensland, Australia, Queensland, Brisbane, pp. 1-59.

Abstract

We analyse the puzzling behavior of the volatility of individual stock returns around the turn of the Millennium. There has been much academic interest in this topic, but no convincing explanation has arisen. Our goal is to pull together the many competing explanations currently proposed in the literature to delermine which, if any, are capable of explaining the volatility trend. We find that many of the different explanations capture the same unusual trend around the Millennium. We find that many of the variables are very highly correlated and it is thus difficult to disentangle their relalive ability to exlplain the time-series behavior in volatility. It seems thai all of the variables that track average volatility well do so mainly by capturing changes in the post-1994 period. These variables have no time-series explanatory power in the pre-1995 years, questioning the underlying idea that any of the explanations currently plesented in the literature can track the trend in volatility over long periods.

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ID Code: 32347
Item Type: Conference Paper
Keywords: Volatility, Trend, Turnover
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2009 please consult authors
Deposited On: 30 Jun 2011 16:52
Last Modified: 02 Jul 2011 16:52

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