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The Journal of Wealth Management

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Article

The Increasing Volatility of the Stock Market?

Kenneth M. Washer, Randy Jorgensen and Robert R. Johnson
The Journal of Wealth Management Summer 2016, 19 (1) 71-82; DOI: https://doi.org/10.3905/jwm.2016.19.1.071
Kenneth M. Washer
is a professor of finance at Creighton University in Omaha, NE.
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  • For correspondence: kenwasher@creighton.edu
Randy Jorgensen
is director of the Master in Investment Management and Financial Analysis Program and a professor of finance at Creighton University in Omaha, NE.
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  • For correspondence: randyjorgensen@creighton.edu
Robert R. Johnson
is president and CEO of the American College of Financial Services in Bryn Mawr, PA.
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  • For correspondence: bob.johnson@theamericancollege.edu
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Abstract

This study provides a rigorous examination of historical stock price volatility. We measure changes in the variability of equity returns on a daily and monthly basis and test whether volatility has changed over the period 1926 through 2014. Our results are of importance to practitioners, individual investors, policy makers, and the press and address the widely held perception among market participants and the general public that stock market volatility has increased over time. Our results suggest this belief is accurate, but only when volatility is measured on a daily basis. When measured using monthly increments, there has been no discernable change in return volatility. This is likely good news for both traders and investors. Traders are active on a daily basis and can profit from larger movements in the market, thus the slight increase in daily volatility is likely both important to them and viewed positively. Long-term investors can take comfort that many of the large daily price declines are at least partially offset by similar price increases and that, when measured over longer periods, volatility has not increased.

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The Journal of Wealth Management: 19 (1)
The Journal of Wealth Management
Vol. 19, Issue 1
Summer 2016
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The Increasing Volatility of the Stock Market?
Kenneth M. Washer, Randy Jorgensen, Robert R. Johnson
The Journal of Wealth Management Apr 2016, 19 (1) 71-82; DOI: 10.3905/jwm.2016.19.1.071

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The Increasing Volatility of the Stock Market?
Kenneth M. Washer, Randy Jorgensen, Robert R. Johnson
The Journal of Wealth Management Apr 2016, 19 (1) 71-82; DOI: 10.3905/jwm.2016.19.1.071
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  • Article
    • Abstract
    • LITERATURE REVIEW
    • VOLATILITY AND INVESTORS
    • METHODOLOGY AND DATA
    • HAS VOLATILITY INCREASED?
    • UPSIDE VOLATILITY VS. DOWNSIDE VOLATILITY
    • CONCLUSIONS
    • ENDNOTE
    • REFERENCES
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