Extreme Risk in Asian Equity Markets

20 Pages Posted: 12 Jul 2007

Date Written: 2007


Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and average losses, along with their associated average waiting periods. Extreme value theory using the Peaks over Threshold method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite exhibits the largest risk measures.

Keywords: risk measures, Asian equity markets, extreme value theory

JEL Classification: G1, G10

Suggested Citation

Cotter, John, Extreme Risk in Asian Equity Markets (2007). Available at SSRN: https://ssrn.com/abstract=999564 or http://dx.doi.org/10.2139/ssrn.999564

John Cotter (Contact Author)

University College Dublin ( email )

School of Business, Carysfort Avenue
Blackrock, Co. Dublin
353 1 716 8900 (Phone)
353 1 283 5482 (Fax)

HOME PAGE: http://https://johncotter.org/

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

Paper statistics

Abstract Views
PlumX Metrics