Advanced Search
MyIDEAS: Login

Measuring the Stability of a Dynamic System: The Case of the Stock Market Turmoil 2007-2008

Contents:

Author Info

  • Bask, Mikael

    ()
    (Department of Economics)

  • Widerberg, Anna

    ()
    (Department of Economics Göteborg University)

Abstract

The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of (lambda,sigma-2)-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic system generating DJIA returns is used as the stability measure, lambda, whereas the squared DJIA return is used as the variability measure, sigma-2. The main findings are as follows: (i) the potential market risk in the DJIA did not fluctuate that much during 2007, with the exceptions of early fall and near the end of the year; (ii) the potential market risk fluctuated a lot during 2008, especially in early August and in the middle of September; and (iii) the actual market risk in the DJIA was considerably higher near the end of 2008, especially in October, compared with the rest of the period.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://uu.diva-portal.org/smash/get/diva2:457266/FULLTEXT01.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Uppsala University, Department of Economics in its series Working Paper Series with number 2010:25.

as in new window
Length: 20 pages
Date of creation: 28 Dec 2010
Date of revision:
Handle: RePEc:hhs:uunewp:2010_025

Contact details of provider:
Postal: Department of Economics, Uppsala University, P. O. Box 513, SE-751 20 Uppsala, Sweden
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
Email:
Web page: http://www.nek.uu.se/
More information through EDIRC

Related research

Keywords: Dow Jones; Financial Crisis; Lyapunov Exponents; Market Risk; Potential Market Risk; Stability; Volatility;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hhs:uunewp:2010_025. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Katarina Grönvall).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.