Modelling extreme financial returns of global equity markets

Files in This Item:
File Description SizeFormat 
cotterj_article_post_017.pdf207.67 kBAdobe PDFDownload
Title: Modelling extreme financial returns of global equity markets
Authors: Cotter, John
Permanent link:
Date: Nov-2004
Online since: 2009-11-25T15:04:23Z
Abstract: Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing American, Asian and European markets. The paper finds that all markets tail realisations are adequately modelled with the fat-tailed Fréchet distribution. Furthermore tail realisations associated with the downside of a distribution are greater than those associated with the upside, and extreme returns for Asian markets are usually larger than their European and American counterparts.
Type of material: Journal Article
Publisher: Papazisis Press
Journal: Greek Economic Review
Issue: 24
Start page: 111
End page: 125
Copyright (published version): Society for Economic Research
Keywords: Extreme returnsExtreme value theory
Subject LCSH: Stock exchanges
Financial crises
Extreme value theory
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

Show full item record

Google ScholarTM


This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.