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Volatility and sleeping markets

Mukul Pal · January 19, 2010

Question: Are American and Indian markets sleeping?
Answer: Yes they are because in the last 20 days indices have moved a marginal 1%.
Question: How can we define sleeping markets statistically and psychologically?
Answer: Low volatility is a statistical way to explain the lackluster nature of the market. Low volatility is seen across global equity today. Low volatility is a sign of complacency that the worst is over. “Now we really can’t get back into the crisis”. “Crisis is behind us”. These are the inflexion points where markets face a surprise as volatility rises.
Question: One could say that Romanian markets are not sleeping as there is no volatility indicator?
Answer: Incorrect. Reuters has a statistical volatility indicator. A similar behavior like India and America, low volatility is happening in Romania too.
Question: How can one explain the market view based on the above volatility stats?
Answer: If volatility is about market activity, complacency and about cyclical statistics (after low volatility comes highs volatility) then the rise from Mar 09 low to nearly Feb 10 makes the current leg 11 month old. After 11 months complacency and drop in market activity cannot be considered positive. It is indecision. After low volatility comes high volatility and rise in volatility is generally a sign of fear not confidence. In conclusion we are heading into a time of rising volatility and exhaustion of the trend from Mar 09.
Romananian Statistical Volatility touches base

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