The rare event risk in African emerging stock markets

Tolikas, Konstantinos ORCID: https://orcid.org/0000-0001-8281-0709 2011. The rare event risk in African emerging stock markets. Managerial Finance 37 (3) , pp. 275-294. 10.1108/03074351111113324

Full text not available from this repository.

Abstract

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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Uncontrolled Keywords:	Africa, Probability theory, Risk analysis, Stock markets, Stock returns
Publisher:	Emerald
ISSN:	0307-4358
Last Modified:	25 Oct 2022 08:16
URI:	https://orca.cardiff.ac.uk/id/eprint/52111

Citation Data

Cited 9 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item