並列摘要
Risk is one of the two most important variables that investors concern with. The first purpose of this paper is to investigate the determinants of the volatility of stock prices. Specifically, we explore the regression relationship between the volatility of stock prices and real production, inflation risk, interest rate risk, money supply (M2) risk, and relative stock price level. Secondly, we also investigate whether the regression structure of the above relationship changed during the 1987 Crash in the US stock market. Results indicate that: (1) For the whole period and before- and post-crash subperiods, the stock price volatility shows positive autoregressive correlation; (2) For the whole period, real production risk and inflation risk have positive impacts on the stock price volatility. For the before-crash subperiod, inflation risk has a positive impact, while money supply risk has a positive impact on the stock price volatlity. However, for the post-crash period, inflation risk and interest rate risk have a positive impact on the stock price volatility.