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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 2 ; Year: 2014 ; Issue: 2 ; Pages: 211-225 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
extreme value theory
volatility
risk management
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Aboura, Sofiane
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2014
- DOI
-
doi:10.3390/risks2020211
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Aboura, Sofiane
- MDPI
Entstanden
- 2014
Ähnliche Objekte (12)
Options with extreme strikes
FinTechs, BigTechs and banks: When cooperation and when competition?
Inequality and poverty when effort matters
When metal becomes nature
When perfectionism becomes willpower
What does Vietnam gain when its currency depreciates?
The redistribution of trade gains when income inequality matters
When two become one: How group mergers affect solidarity
On survivor stocks in the S&P 500 stock index
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange: All share index
State-dependent stock liquidity premium: The case of the Warsaw stock exchange
Options with extreme strikes
FinTechs, BigTechs and banks: When cooperation and when competition?
Inequality and poverty when effort matters
When metal becomes nature
When perfectionism becomes willpower
What does Vietnam gain when its currency depreciates?
The redistribution of trade gains when income inequality matters
When two become one: How group mergers affect solidarity
On survivor stocks in the S&P 500 stock index
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange: All share index
State-dependent stock liquidity premium: The case of the Warsaw stock exchange
Options with extreme strikes
FinTechs, BigTechs and banks: When cooperation and when competition?
Inequality and poverty when effort matters
When metal becomes nature
When perfectionism becomes willpower
What does Vietnam gain when its currency depreciates?
The redistribution of trade gains when income inequality matters
When two become one: How group mergers affect solidarity
On survivor stocks in the S&P 500 stock index
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange: All share index