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A multi-pronged analysis of common and market-specific equity outliers across the G7, China, and global markets using country ETFs

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  • Valadkhani, Abbas

Abstract

This study analyzes unexpected upside and downside outlier movements in equity returns across G7 countries, China, and the world from July 2008 to September 2024. Using methods like Tukey fences, ARMA, and Wavelet analysis, it identifies the frequency, characteristics, and origins (common or country-specific) of these movements. By controlling for global co-movements, country-specific outliers are isolated, revealing distinct patterns for each market. Outliers were most prevalent during the Global Financial Crisis (2008–2011) and the post-COVID-19 period (2020–2022), with significant variations across countries. The results enhance understanding of market disruptions, offering insights for risk management and investment strategies.

Suggested Citation

  • Valadkhani, Abbas, 2025. "A multi-pronged analysis of common and market-specific equity outliers across the G7, China, and global markets using country ETFs," Finance Research Letters, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000364
    DOI: 10.1016/j.frl.2025.106771
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    References listed on IDEAS

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    1. Aloui, Riadh & Ben Jabeur, Sami & Mefteh-Wali, Salma, 2022. "Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis," Research in International Business and Finance, Elsevier, vol. 62(C).
    2. Beine, Michel & Laurent, Sebastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 641-660, December.
    3. Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019. "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 162-178.
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