Market and idiosyncratic volatility: high frequency dynamics

Taylor, Nick James 2010. Market and idiosyncratic volatility: high frequency dynamics. Applied Financial Economics 20 (9) , pp. 739-751. 10.1080/09603100903459923

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Abstract

The explanatory power of idiosyncratic volatility is examined in the context of the dynamics of market volatility. Results based on high frequency individual Standard & Poor's (S&P) 100 stock data indicate that aggregate idiosyncratic volatility has a significant and persistent impact on market volatility (and vice versa). Furthermore, we show that this explanatory power improves as one increases the number of stocks used to construct idiosyncratic volatility.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HF Commerce H Social Sciences > HG Finance
Publisher:	Taylor & Francis
ISSN:	0960-3107
Last Modified:	25 Jun 2017 02:48
URI:	https://orca.cardiff.ac.uk/id/eprint/19467

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