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A re-examination of firm, industry and market volatilities

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  • Lebedinsky, Alex
  • Wilmes, Nicholas

Abstract

In updating Campbell et al. (2001) we find evidence that the level of idiosyncratic volatility, industry-specific volatility, and market volatility have increased to their highest levels in 50 years during the 21st century. Our findings show that while the 2007–2008 Financial Crisis led to large spikes in all three measures of volatility, the Tech Bubble of early 2000’s led to an even greater increase in firm and industry volatilities than the Financial Crisis. By 2010, volatilities mostly returned to their pre-crisis levels. We also find evidence that the average correlation among stocks, which decreased during 1960–2000 period, has been increasing steadily since early 2000’s.

Suggested Citation

  • Lebedinsky, Alex & Wilmes, Nicholas, 2018. "A re-examination of firm, industry and market volatilities," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 113-120.
    • Handle: RePEc:eee:quaeco:v:67:y:2018:i:c:p:113-120
    DOI: 10.1016/j.qref.2017.05.005
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    References listed on IDEAS

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    1. John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
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    More about this item

    Keywords

    Financial crisis; Industry volatility; Market volatility; Idiosyncratic volatility;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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