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Saturday, April 26, 2008

Market volatility and uptick rule

WSJ reports that market volatility increased when the "uptick" rule was removed last summer. I guess this has more to do with the credit crisis since last August than with the removal of the rule. It just happened to be case that the timing of the removal coincided with the credit crisis. Nonetheless, the debate itself is quite interesting.

[Graphic]

2 comments:

Anonymous said...

I would love to see this article updated through the end of October of 2008. We now have a deeper database of history with which to evaluate the dropping of the UpTick rule from SEC's tool chest.

With daily whole market volatility averaging approx. 4% and intraday swings of 8% to 10% between lows and highs it would seem that someone should be rethinking this. The VIX has gone from zilch back in 2003 through 2006 to something resembling a seismic event of Richter "10" proportions in 2008.

An update please?

Paul Deng said...

here is a vix comparison between 1987 and 2008:
http://www.bloomberg.com/apps/data?pid=avimage&iid=ieLIbbh8g5qo