The tail behavior of stock index return on the Jamaican Stock Exchange.

This paper is concerned with the application of extreme value theory (EVT) to daily stock market closing prices on the Jamaican Stock Exchange to determine whether or not stock market returns follow a heavy-tail stable distribution. Our empirical result does not reject a heavy tail stable distribution for returns. It also establishes that the Jamaican Stock Exchange return index has a significantly fatter tail than returns from industrial markets.

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Year of publication:	2003
Authors:	Agbeyegbe, Terence D.
Institutions:	Department of Economics, Hunter College
Subject:	Extreme market return

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Extent:	application/pdf
Series:	Economics Working Paper Archive at Hunter College.
Type of publication:	Book / Working Paper
Notes:	Number 305 15 pages
Classification:	G15 - International Financial Markets ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004987357