Why Does Stock Market Volatility Change Over Time?
利用1857年至1987年的月度数据，分析股市波动性与宏观经济波动、经济活动、财务杠杆和股票交易活动的关系，发现财务杠杆只能解释波动性变化的一小部分，尤其是大萧条时期的异常高波动难以用简单估值模型解释。
ABSTRACT This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, economic activity, financial leverage, and stock trading activity using monthly data from 1857 to 1987. An important fact, previously noted by Officer (1973) , is that stock return variability was unusually high during the 1929–1939 Great Depression. While aggregate leverage is significantly correlated with volatility, it explains a relatively small part of the movements in stock volatility. The amplitude of the fluctuations in aggregate stock volatility is difficult to explain using simple models of stock valuation, especially during the Great Depression.