TY  - JOUR
AU  - Schwert,G. William
TI  - Stock Volatility and the Crash of '87
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2954
PY  - 1990
Y2  - October 1990
UR  - http://www.nber.org/papers/w2954
L1  - http://www.nber.org/papers/w2954.pdf
N1  - Author contact info:
G. William Schwert
William E. Simon Graduate School of Business Admin
University of Rochester
Rochester, NY  14627
Tel: 585/275-2470
Fax: 585/461-5475
E-Mail: Schwert@schwert.ssb.rochester.edu
AB  - This paper analyzes the behavior of stock return volatility using daily data from 1885 through 1987. The October 1987 stock market crash was unusual in many ways relative to prior history. In particular, stock volatility jumped dramatically during and after the crash, but it returned to lower. more normal levels quickly. I use data on implied volatilities from call option prices and estimates of volatility from futures contracts on stock indexes to confirm this result.
ER  -