Business cycles, financial crises, and stock volatility

Carnegie-Rochester Confer. Series on Public Policy

Volumn 31, Issue C, 1989, Pages 83-125

  Schwert, G William ^a,b  

^a UNIVERSITY OF ROCHESTER   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001817296     PISSN: 01672231     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-2231(89)90006-7     Document Type: Article

References (48)

1. Required Disclosure and the Stock Market: An Evaluation Exchange Act of 1934
2. Nonmonetary Effects of the Financial Crises in the Propagation of the Great Depression
3. Studies of Stock Price Volatility Changes
4. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
5. Common Stock Indexes
6. THE DISTRIBUTION OF THE RATIO, IN A SINGLE NORMAL SAMPLE, OF RANGE TO STANDARD DEVIATION
7. Variance Function Estimation
8. The Changing Cyclical Variability of Economic Activity in the United States
9. Bank Runs, Deposit Insurance, and Liquidity
10. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
11. Inflation Uncertainty and Expected Returns on Treasury Bills
12. Dividend Vields and Expected Stock Returns
13. Expected Stock Returns and Volatility
14. Comparing Alternative Tests of Causality in Temporal Systems
15. Bank Suspension of Convertibility
16. Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates
17. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
18. Variance Bounds Tests and Stock Price Valuation Models
19. On estimating the expected return on the market
20. Financial Panics, the Seasonality of the Nominal Interest Rate, and the Founding of the Fed
21. Are Economic Time Series Asymmetric over the Business Cycle?
22. Tests for Predictive Relationships between Time Series Variables: A Monte Carlo Investigation
23. The Variability of the Market Factor of the New York Stock Exchange
24. The econometric analysis of models with risk terms
25. Money, Income and Sunspots: Measuring Economic Relationships and the Effects of Differencing
26. Tests of causality
27. Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data
28. Why Does Stock Market Volatility Change Over Time?
29. Tests for Unit Roots: A Monte Carlo Investigation
30. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
31. The Use of Volatility Measures in Assessing Market Efficiency
32. Stock Prices and Social Dynamics
33. The Information in Forward Rates: Implications for Models of the Term Structure
34. Does the Stock Market Rationally Reflect Fundamental Values?
35. A Heteroskedasticity-consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
36. Note on the Correlation of First Differences of Averages in a Random Chain