Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Fifty years of UK asset price volatility
Nicola Anderson, Francis Breedon
Abstract
ABSTRACT
This paper analyzes the volatility of UK equity, bond, and treasury bill returns, and the dollar/sterling exchange rate since 1945. It is found that the volatility of all these assets is on a declining trend after peaking in the late 1970s. It seems that greater macro-economic stability is the most likely cause of the current declining trend. Volatility is, however, still significantly higher than in the Bretton Woods era.
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