Journal Article


Kevin Dowd
John Cotter



stock exchanges rate of return financial stability equity markets equity returns extreme returns extreme value theory

Extreme global equity market risk (2011)

Abstract Extreme asset price movements appear to be more pronounced over timeand have major consequences for an economy’s financial stability and monetary policies.This article investigates the extreme behaviour of equity market returns and quantifies theprobabilities of these losses. Taking 14 major equity markets, the study illustrates similaritiesand divergences in the tail returns from around the world. To do so, it applies extremevalue theory to equity indexes representing American, Asian and European markets. Thearticle finds that all markets tail realisations are adequately modelled with the fat-tailedFréchet distribution. Furthermore, tail realisations associated with the downside of a distributionare greater than those associated with the upside, and extreme returns for Asianmarkets are usually larger than their European and American counterparts.
Collections Ireland -> University College Dublin -> Business Research Collection
Ireland -> University College Dublin -> Institutes and Centres
Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Financial Mathematics Computation Cluster
Ireland -> University College Dublin -> FMC² Research Collection
Ireland -> University College Dublin -> College of Business

Full list of authors on original publication

Kevin Dowd, John Cotter

Experts in our system

John Cotter
University College Dublin
Total Publications: 93