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The Asymptotic Distribution of Extreme Stock Market Returns

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Author Info
Longin, Francois M
Abstract

This article presents a study of extreme stock market price movements. According to extreme value theory, the form of the distribution of extreme returns is precisely known and independent of the process generating returns. Using data for an index of the most traded stocks on the New York Stock Exchange for the period 1885-1990, the author shows empirically that the extreme returns obey a Frechet distribution. Copyright 1996 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 69 (1996)
Issue (Month): 3 (July)
Pages: 383-408
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Handle: RePEc:ucp:jnlbus:v:69:y:1996:i:3:p:383-408

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This page was last updated on 2009-12-2.

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