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On Estimating Stock Market Volatility: An Exploratory Approach

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  • John A. MacDonald
  • Hany A. Shawky

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  • John A. MacDonald & Hany A. Shawky, 1995. "On Estimating Stock Market Volatility: An Exploratory Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(4), pages 449-463, December.
    • Handle: RePEc:bla:jfnres:v:18:y:1995:i:4:p:449-463
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1995.tb00577.x
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    References listed on IDEAS

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    1. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 203-214, June.
    2. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
    3. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    4. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May.
    5. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    6. Chen, Nai-Fu, 1991. "Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-554, June.
    7. Atchison, Michael D & Butler, Kirt C & Simonds, Richard R, 1987. "Nonsynchronous Security Trading and Market Index Autocorrelation," Journal of Finance, American Finance Association, vol. 42(1), pages 111-118, March.
    8. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
    9. repec:bla:jfinan:v:44:y:1989:i:5:p:1115-53 is not listed on IDEAS
    10. Whitelaw, Robert F, 1994. "Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns," Journal of Finance, American Finance Association, vol. 49(2), pages 515-541, June.
    11. Fama, Eugene F, 1990. "Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
    12. Kenneth D. West, 1988. "Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation," NBER Working Papers 2574, National Bureau of Economic Research, Inc.
    13. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
    14. repec:bla:jfinan:v:43:y:1988:i:3:p:639-56 is not listed on IDEAS
    15. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. "The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
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    Cited by:

    1. Steven Freund & Gwendolyn P. Webb, 1999. "Recent Growth In Nasdaq Trading Volume And Its Relation To Market Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 489-501, December.

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