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The Ups & Downs of the Stock Market: Is This Time Different?

Author

Listed:
  • Stacey Schreft

    (The Mutual Fund Research Center®)

  • Adam Bold

    (The Mutual Fund Store®)

Abstract

The stock market is widely viewed as being more volatile these days. This paper examines that perception using data from the past 40 years. It finds surprising consistency across years in the number of days the market closes up and down. In an average year the market closes down 47% of all trading days, and there is little variation across years. Consecutive up and down days are not common. The biggest change identified is that in recent decades the number of days with large one-day moves (moves up or down more than 1% or 2%) has risen, but days with large one-day up moves exceed days with large one-day down moves. The market’s performance in a year has little relation to the exact mix of up and down days.

Suggested Citation

  • Stacey Schreft & Adam Bold, 2010. "The Ups & Downs of the Stock Market: Is This Time Different?," Working Papers 1, The Mutual Fund Research Center®.
    • Handle: RePEc:mfr:wpaper:1
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    File URL: http://www.mutualfundstore.com/TMFRC_Ups_and_Downs_Stock_Market_Sep_16_2010.pdf
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    More about this item

    Keywords

    Stock market; Volatility;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other

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