Inderscience Publishers

Causes of high volatility and stock market crises in the developed economies

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This research aims to state possible causes of high return volatility and stock markets' crises in developed economies, using a sample of seven stock developed markets, covering a period of 36 months (1998-2000). In order to determine which are the most predicting variables that have significant influence on increasing stock volatility and in initiating a stock market crisis compared to other factors. The backward multiple-regression analysis technique was used to examine the relationship between the monthly changes of stock price indices as dependent variable and the associated selected seven predicting measures as independent variables. The article concluded that changing of national exchange rate was the most predicting variable compared to other variables in most of the selected developed countries, followed by a change in stock trading volume and deposit interest rate, respectively.

Keywords: developed economies, stock markets, stock market crisis, stock price volatility, high return volatility, national exchange rates, stock trading volume, deposit interest rates

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