The rare event risk in African emerging stock markets
Purpose - The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996-2007 and examine the implications for downside risk measurement.Design methodology approach - Extreme value theory methods are used to mo...
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| Veröffentlicht in: | Managerial finance 2011-01, Vol.37 (3), p.275-294 |
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| container_title | Managerial finance |
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| creator | Tolikas, Konstantinos |
| description | Purpose - The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996-2007 and examine the implications for downside risk measurement.Design methodology approach - Extreme value theory methods are used to model adequately the extreme minimum daily returns in a number of African emerging stock markets.Findings - The empirical results indicate that the generalised logistic distribution best fitted the empirical data over the period of study.Practical implications - Using the generalised extreme value and normal distributions for risk assessment could lead to an underestimation of the likelihood of extreme share price declines which could potentially lead to inadequate protection against catastrophic losses.Originality value - To the best of the author's knowledge, this is the first study to examine the lower tail distribution of daily returns for African emerging stock markets. |
| doi_str_mv | 10.1108/03074351111113324 |
| format | Article |
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returns for African emerging stock markets.</description><subject>Diversification</subject><subject>Emerging markets</subject><subject>Financial institutions</subject><subject>GDP</subject><subject>Gross Domestic Product</subject><subject>Investments</subject><subject>Investors</subject><subject>New stock market listings</subject><subject>Normal distribution</subject><subject>Probability</subject><subject>Rates of return</subject><subject>Risk</subject><subject>Securities markets</subject><subject>Stock 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| identifier | ISSN: 0307-4358 |
| ispartof | Managerial finance, 2011-01, Vol.37 (3), p.275-294 |
| issn | 0307-4358 1758-7743 |
| language | eng |
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| source | Emerald Journals; Standard: Emerald eJournal Premier Collection |
| subjects | Diversification Emerging markets Financial institutions GDP Gross Domestic Product Investments Investors New stock market listings Normal distribution Probability Rates of return Risk Securities markets Stock exchanges Studies |
| title | The rare event risk in African emerging stock markets |
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