SEC Follow Up Exhibits Part C SEC_OEA_FCIC_001760-2501

Volatility in International Equity Markets
The 2008 financial crisis affected markets all over the world. This section provides
graphs that compare volatility in the U.S. with volatility in various international equity
markets, based on index data obtained from Datastream International.
Figure 9 shows volatility for North American Markets including the NYSE Composite
index, the Nasdaq Composite Index, and the Toronto TSX Composite. While the prior
graphs based on the S&P 500 index included both NYSE and Nasdaq components, Figure
9 separates the two markets, and shows that volatility during the 2008 crisis was slightly
higher for NYSE stocks than for Nasdaq stocks. Volatility in Canadian stocks was
comparable to Nasdaq stocks.
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Figure 9
Realized Volatility (Rolling 30-day Window)
North American Markets
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Jan-05 Jan-06 Jan-07 Jan-08 Jan-09
NYSE
Nasdaq
Canada-TSX
Figure 10 shows volatility for various European and Asia-Pacific Markets. The European
markets exhibited a similar pattern, with volatility peaking somewhere between 70% and
80% in November 2008 (slightly lower for the Swiss index). Realized volatility in the
Japanese and Hong Kong markets was particularly high, with 30-day rolling volatility for
both the Nikkei 225 and Hang Seng indexes peaking around 100% in mid-November.
Volatility in the Shanghai Stock Exchange index was substantially higher than the other
main international stock indices over the prior two years, but was lower during the fourth
quarter of 2008. Volatility in the Australian market also increased in the fourth quarter of
2008, but not as much as in the world’s other major equity markets. The pattern of
volatility in the Korean equity market was similar to that in the U.S.
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SEC_OEA_FCIC_001813