Bridge over ocean
1 September 1991 Financial Analysts Journal Volume 47, Issue 5

Patterns in Intraday Stock Market Volatility, Past and Present

  1. Mason S. Gerety
  2. J. Harold Mulherin

The public, the media and many market regulators have voiced increasing concern that the financial markets have become excessively volatile, and that new financial instruments such as index futures have fueled that volatility. The market crash of October 1987 and the more recent mini-breaks of October 1989 sharpened this perception and elicited calls for various types of regulation. The sharp reversals in intraday stock prices during these events seem to be of particular concern.

Data on intraday stock market volatility over the 1933–89 period indicate that, on an hourly basis, October 1987 was the most volatile month in the period. Yet that month was the exception, rather than the rule. There has been no systematic increase in volatility, intraday or otherwise, since the introduction of index futures in 1982. Moreover, the 1930s—a period in which index futures did not exist—experienced greater intraday volatility than the 1982–89 period.

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