Is Stock Price Volatility Increasing?

Several different measures of stock price volatility over the period from March 1885 through October 20, 1989 indicate that volatility has not increased substantially if one looks at the entire period, and that volatility today is much less than it was in the 1930s. This holds true whether one considers daily movements within a decade, monthly movements within a decade or daily movements over the whole period. Daily market volatility in the 1980s has been greater than in any decade since 1950. However, volatility was unusually low in the 1950s and 1960s. Furthermore, the increase in daily volatility in the 1980s disappears when volatility is measured as month-to-month percentage changes. Our perception of volatility is a function of the benchmark used to make comparisons and the time period over which volatility is measured.