论文信息 - The impact of interest rate changes on stock price volatility

The impact of interest rate changes on stock price volatility

S tock market critics claim that volatility in stock prices is evidence of fads exemplifying irrational trading. Such concerns have increased since the October 1987 stock market crash, especially among academic researchers. This article evaluates this question by building a model that explains stock price volatility in terms of fundamental economic factors. The model implies that the volatility of stock prices is attributable mainly to the volatility of interest rates (to which the stock market is perhaps excessively sensitive) rather than to unexplainable irrational fads. This model should be useful in predicting longer-term trends in stock prices.

Peter S. Spiro

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