Review of Quantitative Finance and Accounting

, Volume 33, Issue 3, pp 233–252

US stock market volatility persistence: evidence before and after the burst of the IT bubble

  • J. Cuñado
  • L. A. Gil-Alana
  • F. Perez de Gracia
Original Research

DOI: 10.1007/s11156-009-0111-5

Cite this article as:
Cuñado, J., Gil-Alana, L.A. & de Gracia, F.P. Rev Quant Finan Acc (2009) 33: 233. doi:10.1007/s11156-009-0111-5

Abstract

In this paper we test whether the US stock market volatility presents a different behavior before and after the burst of the IT bubble. Using long range dependence techniques we examine the order of integration in the absolute and squared returns in three daily stock market indices (DJIA, S&P and NASDAQ). The results indicate that both absolute and squared returns present long memory behavior. In general, the highest orders of integration in the volatility processes correspond to the NASDAQ index. The results also show that in most cases the volatility is more persistent in the bear market than in the bull market.

Keywords

VolatilityBull marketBear marketLong range dependenceAbsolute returnsSquared returns

JEL Classification

G10G12C32

Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  • J. Cuñado
    • 1
  • L. A. Gil-Alana
    • 1
  • F. Perez de Gracia
    • 1
  1. 1.Department of EconomicsUniversidad de NavarraPamplonaSpain