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A close examination of Canadian stock market volatility

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A close examination of Canadian stock market volatility

Michaelides, Mina (1999) A close examination of Canadian stock market volatility. Masters thesis, Concordia University.

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Abstract

This paper examines stock market volatility using daily returns from the Toronto Stock Exchange 300 Price Index, for the time period of January 1st , 1977 through December 31st , 1997. More specifically, the dates on which volatility shifts occurred during this sample period are identified, using the methodology of Haugen, Talmor & Torous (1991). Furthermore, I investigate the extent to which extraordinary macro-economic events are associated with the identified shifts in volatility. Next, I examine how stock prices react immediately following the volatility shifts. In addition, I examine how future realized returns behave due to these same volatility shifts. My findings are as follows. First, I find that the majority of Canadian volatility shifts are associated with macro-economic events. Also, I find that an increase in volatility is more likely to be followed by another increase in volatility than a decrease in volatility and vice versa. Second, I find that an increase (decrease) in volatility causes stock prices to drop (rise). Third, I find that both an increase and a decrease in volatility cause future realized returns to rise. This last finding contradicts the theory and demands further research

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Michaelides, Mina
Pagination:v, 73 leaves ; 29 cm.
Institution:Concordia University
Degree Name:Theses (M.Sc.Admin.)
Program:Faculty of Commerce and Administration
Date:1999
Thesis Supervisor(s):Tirtiroglu, Dogan
ID Code:979
Deposited By:Concordia University Libraries
Deposited On:27 Aug 2009 13:15
Last Modified:08 Dec 2010 10:17
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