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Market and idiosyncratic volatility: high frequency dynamics

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  • Nicholas Taylor

Abstract

The explanatory power of idiosyncratic volatility is examined in the context of the dynamics of market volatility. Results based on high frequency individual Standard & Poor's (S&P) 100 stock data indicate that aggregate idiosyncratic volatility has a significant and persistent impact on market volatility (and vice versa). Furthermore, we show that this explanatory power improves as one increases the number of stocks used to construct idiosyncratic volatility.

Suggested Citation

  • Nicholas Taylor, 2010. "Market and idiosyncratic volatility: high frequency dynamics," Applied Financial Economics, Taylor & Francis Journals, vol. 20(9), pages 739-751.
    • Handle: RePEc:taf:apfiec:v:20:y:2010:i:9:p:739-751
    DOI: 10.1080/09603100903459923
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    Cited by:

    1. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
    2. Daniel Jubinski & Marc Tomljanovich, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 86-97, September.

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