When the U.S. Stock Market Becomes Extreme?
AbstractOver 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. View Full-Text
Scifeed alert for new publicationsNever miss any articles matching your research from any publisher
- Get alerts for new papers matching your research
- Find out the new papers from selected authors
- Updated daily for 49'000+ journals and 6000+ publishers
- Define your Scifeed now
Aboura, S. When the U.S. Stock Market Becomes Extreme? Risks 2014, 2, 211-225.
Aboura S. When the U.S. Stock Market Becomes Extreme? Risks. 2014; 2(2):211-225.Chicago/Turabian Style
Aboura, Sofiane. 2014. "When the U.S. Stock Market Becomes Extreme?" Risks 2, no. 2: 211-225.