| Summary: | 碩士 === 東海大學 === 企業管理學系碩士班 === 89 === ABSTRACT
According to Campbell, Lettau, Malkiel and Xu(2001), this paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period 1981-2000 there has been a noticeable increase in firm-level volatility relative to market volatility. According, correlations among individual stocks and the explanatory power of the market for a typical stock has declined, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures move together counter-cyclically but can’t help to predict GDP growth. Market volatility tends to lead the other volatility series. Factors that may be responsible for these findings are suggested. Last, we check weather the macroeconomics variables─rates, exchanges rates, money supply, industry productivity and inflations can affect the stock market volatility or not.
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