Financial Market Volatility and the Implications for Market Regulation: A Survey

November 1, 1990

Preview Citation

Format: Chicago

Louis O. Scott Financial Market Volatility and the Implications for Market Regulation: A Survey, (USA: International Monetary Fund, 1990) accessed September 19, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis, and new empirical approaches have been applied to the study of this important issue in recent years. Many of the recent studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations necessary and would they serve to reduce market volatility? This paper presents a review of recent studies on financial market volatility and examines the proposed regulations.

Subject: Asset prices, Discount rates, Financial institutions, Financial markets, Financial services, Prices, Securities markets, Stock markets, Stocks

Keywords: Asset price volatility, Asset prices, Bond market, Discount rate, Discount rates, Equilibrium price, Ex post market fundamental, Initial margin, Marginal utility, Market fundamental, Market regulation, Markets hypothesis, Mean reversion, Noise term, Present value, Price-dividend ratio, Securities markets, Short position, Stock markets, Stocks, Utility function, WP

Publication Details

Pages:

68
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1990/112
Stock No:

WPIEA1121990
ISBN:

9781451944594
ISSN:

1018-5941

Notes

Also published in Staff Papers, Vol. 38, No. 3, September 1991.

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