| This dissertation contains four empirical essays on stock market volatility. The first essay "Volatility Changes, Systemic Risk, and Risk Control Procedures" investigates changes in the volatility of the S&P500 index over time. It shows that the number of volatility changes rose in the 1990's as compared to the 1980's, and this is a reversal of a long term downward trend. It argues that systemic risk and imperfections in the financial system as a whole are behind the increased instability of volatility. It also suggests that risk control methods adopted by financial institutions in the last few years are not always helpful in an environment of changing volatility.;The second essay "Trends in the Volatility of Individual Stocks, A Multiple Measures Approach" examines Volatility, defined in a number of different ways, for a sample of 94 stocks during the period 1993--1999. We study how the behavior of these indicators of volatility differs from that of the standard one, the daily standard deviation of returns. While the standard deviation has increased only slightly, some of the other indicators have increased considerably during this period, showing there have been some changes in how stocks traded during this period.;The third essay "Stock Market Volatility and The On Line Investor" compares the volatility of stocks with a large following among online investors with the volatility of a control group of stocks. Using high frequency data and two different approaches (a Granger methodology and a measure of market impact) we provide evidence suggesting that retail traders influence the pricing and short-term volatility of such stocks.;The fourth essay "Changes in the Cross-Section of Stock Volatility" provides evidence that the cross-section of stock volatility (that is the distribution of volatility across U.S. stocks at any point in time) has undergone some significant changes over the past 15 years. First, a number stocks with very high volatility have come into prominence, (mainly high-technology, NASDAQ stocks). Second, the origin of volatility has changed, with more coming from idiosyncratic (unsystematic) sources, and less from market-wide (systematic) sources. |
