Right. I had to get up in the morning at ten o’clock at night half an hour before I went to bed, drink a cup of sulphuric acid, work twenty-nine hours a day down mill, and pay mill owner for permission to come to work, and when we got home, our Dad and our mother would kill us and dance about on our graves singing Hallelujah.
And you try and tell the young people of today that ….. they won’t believe you.
— Monty Python, from Live at Drury Lane (1974)
Normally when people start talking about history and change, it’s usually about how much harder it was when they were a kid. You know, “When I was your age we walked ten miles to and from school, uphill both ways”, etc.
Such is not the case, however, in stock markets, at least as evidenced by some fascinating new data from the BIS. The subject is equity volatility, and, among other things, the paper shows that 1970 makes for an interesting volatility break point in all major markets, with equity volatility increasing market after that date. That, of course, is something of a puzzle to many researchers, given that markets have supposedly become more efficient and better information processors.
The following figure, from the paper, shows annualized equity volatility in the two periods: