This paper is one of four in this Working Paper series, focusing on financial liberalisation, along with those by Miller and Weller, Driscoll, and Blundell-Wignall and Browne. It examines the historical volatilities of stock, bond and foreign currency markets over alternative periods differing roughly by the degree of financial innovation and globalisation. It characterises trends in gross volatility, and the degree and manner in which volatility in financial markets has changed, the real economic consequences of transitory periods of excess volatility, and discusses some of the financial policies proposed to limit volatility. The results suggest that the past two decades have coincided with a world-wide increase in the average levels of volatility in stock returns, corporate bond yields and exchange rates, accompanied by a general increase in the strength of the positive correlations among national stock returns and the conditional volatilities of these returns. Evidence suggests ...