The Asymptotic Distribution of Extreme Stock Market Returns

Posted: 4 May 2000

See all articles by Francois M. Longin

Francois M. Longin

ESSEC Business School - Finance Department

Abstract

This article presents a study of extreme stock market price movements. According to extreme value theory, the form of the distribution of extreme returns is precisely known and independent of the process generating returns. Using data for an index of the most traded stocks on the New York Stock Exchange for the period 1885-1990, it is shown empirically that the extreme returns obey a Frechet distribution.

JEL Classification: D40, G12, G14

Suggested Citation

Longin, Francois M., The Asymptotic Distribution of Extreme Stock Market Returns. Available at SSRN: https://ssrn.com/abstract=7584

Francois M. Longin (Contact Author)

ESSEC Business School - Finance Department ( email )

Avenue Bernard Hirsch
BP 105 Cergy Cedex, 95021
France

HOME PAGE: www.longin.fr

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,268
PlumX Metrics