Is the United States Stock Market Getting Riskier?

  • Ronny SUAREZ Independent Researcher United State of America

Abstract

In this paper, we compared the distribution of the S&P 500 Index monthly returns of the period 1957-1986 against the period 1987-2016 to evaluate the presence of extreme events. The last 30 years have recorded a higher (lower) probability to exceed a given negative (positive) monthly return compare with the probability of exceedance of the three previous decades.

References

[1] McNeil, A.J. 1999. Extreme Value Theory for Risk Managers. Internal Modelling and CAD II. RISK Books, 93-113 pp. Available at: http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.70.9298&rep=rep1&type=pdf
[2] Coles, S. 2001. An Introduction to Statistical Modeling of Extreme Values. Springer-Verlag London. ISBN: 978-1-4471-3675-0, DOI 10.1007/978-1-4471-3675-0
Published
2017-12-12
How to Cite
SUAREZ, Ronny. Is the United States Stock Market Getting Riskier?. Journal of Advanced Studies in Finance, [S.l.], v. 8, n. 1, p. 66-72, dec. 2017. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/1571>. Date accessed: 23 jan. 2022. doi: https://doi.org/10.14505//jasf.v8.1(15).04.
Section
Journal of Advanced Studies in Finance