The myth of CAC 40 high volatility in the 2010s

Abstract

This paper study CAC 40 historical volatility in long run perspective (using intraday
and interday data between 1990 and 2016 and on monthly data from 1914). Despite the
development of high-frequency trading and a very frequent reference to high volatility
in new media, the volatility of CAC 40 does not reach any historical summits during
the 2010s. The most volatile periods are those identified – using the windows method
(Mishkin and White) – during periods of financial crisis. Our results are in line with
Schwert measurement of US stock market volatility and invite to consider macroeconomic
fundamentals volatility in order to explain stock market high volatility (Shiller,
Hansen and Jagannathan).