We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
DEREGULATION AND THE VOLATILITY OF UK STOCK PRICES.
- Authors
Peel, David A.; Pope, Peter F.; Yadav, Pradeep K.
- Abstract
Prior to Black Monday it was a commonly held view in the City that Big Bang had made the Stock Market more volatile. In this paper we have examined, over a period spanning Big Bang and the October 1987 crash, the daily percentage movements in the FTA, the FTSE-100 indices, the Morgan Stanley Capital International index and all the 68 companies which have remained in the FTSE-100 index from its inception. We have found that: <BR> (a) After controlling for world influences, the UK market as a whole was no more volatile in the period prior to Black Monday and post-Big Bang than in the period prior to Big Bang. However, at the level of individual stocks we did find evidence of increases in volatility in a significant proportion of cases. We also found evidence of increase in intra-day volatility. <BR> (b) Post Black Monday, the UK market has been more volatile even after allowance for increased volatility due to global factors. <BR> (c) The sensitivity of UK market returns to changes in global returns (or the non-diversifiable risk' of the UK market for the global investor) did not increase between Big Bang and Black Monday. <BR> (d) The proportion of total UK market volatility attributable to global volatility, increased sharply for a brief period after Black Monday, but has gradually settled down to earlier levels. <BR> (e) There is some evidence for the hypothesis that asset prices were characterized by periods of turbulence or tranquillity in the period prior to Black Monday.
- Subjects
UNITED Kingdom; STOCK Market Crash, 1987; STOCK price indexes; FINANCIAL markets; STOCK prices
- Publication
Journal of Business Finance & Accounting, 1993, Vol 20, Issue 3, p359
- ISSN
0306-686X
- Publication type
Article
- DOI
10.1111/j.1468-5957.1993.tb00261.x