Stock Volatility in the New Millennium: How Wacky Is Nasdaq?

By G. Schwert. 2001

176 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/791fa97d39715bc7a0c6263a6bb4a59a5b6e5247

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Citations in the corpus

Temporal Relational Ranking for Stock Prediction (2018, methodology): “anking on NYSE.It reveals that the industry relations reflects more of long-term correlations between stocks, since NASDAQ is a much more volatile market than NYSE and dominated by short-term factors [33]. •GBR, GCN, RSR_E, and RSR_I perform better than Rank_LSTM on NYSE w.r.t. RT@1. As Rank_LSTM is”
On the Role of Risk Premia in Volatility Forecasting (2007, methodology): “Schwert (2002) provided additional highlights of the VXN “jumpiness” by comparing VXN, VIX, and RV’s computed based on NDX and OEX.”
Can Growth Options Explain the Trend in Idiosyncratic Risk (2008, background): “2 NYSE/AMEX versus NASDAQ firms Schwert (2002) documents unusually high volatility of NASDAQ firms compared with NYSE/AMEX firms over the 6-year period between 1995 and 2001.”
Stock Volatility During the Recent Financial Crisis (2011, unknown): “Figure 3 shows a plot of the standard deviation of daily returns to the Standard & Poor's 500 index from February 1983 – July 2010 based on returns measured every 15 minutes within the day.4 3 The data from 1802-1962 are from Schwert (1990).”
Long Memory and the Relation between Implied and Realized Volatility (2006, methodology): “We also multiply the VIX data by a constant factor equal to ¡ 252 365 ¢1/2 as in Schwert (2002) to account for the difference between trading and calendar days.”
The Variability of IPO Initial Returns (2010, background): “In particular, the peak in both the average level and the standard deviation of the initial returns to IPOs during the IPO bubble period is reminiscent of the high volatility of NASDAQ stock returns during this period (e.g., Schwert (2002)).”
Empirical Evidence of Risk Shifting in Financially Distressed Firms (2008, background): “The pattern of expected volatility is consistent with previous studies (e.g., Schwert (2002)).”