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

Authors: Nidal Rashid Sabri

Addresses: College of Commerce and Economics, Birzeit University, PO Box 14, Birzeit, Palestine

Abstract: 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.

DOI: 10.1504/IJBG.2009.024613

International Journal of Business and Globalisation, 2009 Vol.3 No.4, pp.415 - 434

Published online: 10 Apr 2009 *

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