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

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://econ.hunter.cuny.edu/wp-content/uploads/sites/6/RePEc/papers/HunterEconWP305.pdf
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Paper provided by Hunter College Department of Economics in its series Economics Working Paper Archive at Hunter College with number 305.

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Length: 15 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:htr:hcecon:305
Contact details of provider: Postal: 695 Park Avenue, New York, NY 10065
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Web page: http://econ.hunter.cuny.edu/
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  1. James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
  2. Jansen, Dennis W & de Vries, Casper G, 1991. "On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective," The Review of Economics and Statistics, MIT Press, vol. 73(1), pages 18-24, February.
  3. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  4. repec:ner:tilbur:urn:nbn:nl:ui:12-3108722 is not listed on IDEAS
  5. Danielsson, Jon, 2002. "The emperor has no clothes: Limits to risk modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1273-1296, July.
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