Artikel
When the US stock market becomes extreme?
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis. However, EVT is usually applied to standardized returns to offer more reliable results, but remains difficult to interpret in the real world. This paper proposes a quantile regression to transform standardized returns into theoretical raw returns making them economically interpretable. An empirical test is carried out on the S&P500 stock index from 1950 to 2013. The main results indicate that the U.S stock market becomes extreme from a price variation of ±1.5% and the largest one-day decline of the 2007 - 2008 period is likely, on average, to be exceeded one every 27 years.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 2 ; Pages: 211-225 ; Basel: MDPI
- Classification
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Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Subject
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extreme value theory
volatility
risk management
- Event
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Geistige Schöpfung
- (who)
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Aboura, Sofiane
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2014
- DOI
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doi:10.3390/risks2020211
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Aboura, Sofiane
- MDPI
Time of origin
- 2014
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