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Evidence of the Nonstationarity of the Variance Rate of Return of New York Stock Exchange Listed Common Stock

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  • Callaway, Richard E

Abstract

The variance rate of return is shown to be nonstationary for the majority of stocks studied, with a median change of 100 percent over a period of one and one-half years. The degree of change declines as the interval between estimates is shortened as does the extent to which the variance rates of different stocks change in the same direction. The size and direction of the change do not appear to be strongly related to the trading frequency of the stock. Copyright 1989 by MIT Press.

Suggested Citation

  • Callaway, Richard E, 1989. "Evidence of the Nonstationarity of the Variance Rate of Return of New York Stock Exchange Listed Common Stock," The Financial Review, Eastern Finance Association, vol. 24(2), pages 199-214, May.
    • Handle: RePEc:bla:finrev:v:24:y:1989:i:2:p:199-214
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    Cited by:

    1. Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.

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