Volatility of daily market returns through year

A previous post looked at the average cumulative stock market returns throughout the year January to December. Beyond simple mean returns, it can also be interesting to look at how the market’s daily volatility changes throughout the year.

The following chart shows the (5-day moving average of the) standard deviation of the daily returns throughout the year for the FTSE 100 Index from 1984 to 2015. In plain English: the chart plots the range of daily fluctuations of the FTSE 100 index for each trading day throughout the year.

Average volatility of daily returns of FTSE 100 Index through year [1984-2014]

It can be seen that the volatility of daily returns is fairly even for the first eight months of the year; it then starts to increase in September and peaks in October before trailing off fairly significantly for the remainder of the year. So, according to this study of daily returns throughout the year, October is the most volatile month.


Extract taken from the newly published The UK Stock Market Almanac 2016.

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