Stock Volatility during the Recent Financial Crisis
利用美国1802年至2010年的月、日和日内数据，研究股票波动性的历史变化，并分析2008年金融危机后市场对波动性的预期，发现危机期间波动性虽高但短暂，与大萧条时期形成对比。
This paper uses monthly returns from 1802 to 2010, daily returns from 1885 to 2010, and intraday returns from 1982 to 2010 in the USA to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting to happen in the months following the financial crisis in late 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short†lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading.