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The tail behavior of stock index return on the Jamaican Stock Exchange

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Author Info
Terence D.Agbeyegbe () (Hunter College, CUNY)

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Abstract

This paper is concerned with the application of extreme value theory (EVT) to daily stock market closing prices on the Jamaican Stock Exchange to determine whether or not stock market returns follow a heavy-tail stable distribution. Our empirical result does not reject a heavy tail stable distribution for returns. It also establishes that the Jamaican Stock Exchange return index has a significantly fatter tail than returns from industrial markets.

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File URL: http://arrow.hunter.cuny.edu/research/papers/HunterEconWP305.pdf
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Publisher Info
Paper provided by Hunter College: Department of Economics in its series Hunter College Department of Economics Working Papers with number 305.

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Length: 15 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:htr:hcecon:305

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Related research
Keywords: Extreme market return..;

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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  1. Dennis Jansen & Casper de Vries, 1988. "On the frequency of large stock returns: putting booms and busts into perspective," Working Papers 1989-006, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  3. Jon Danielsson, 2000. "The Emperor has no Clothes: Limits to Risk Modelling," FMG Special Papers sp126, Financial Markets Group. [Downloadable!] (restricted)
    Other versions:
  4. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-11.

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