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Extreme US stock market fluctuations in the wake of 9/11

✍ Scribed by S. T. M. Straetmans; W. F. C. Verschoor; C. C. P. Wolff

Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
240 KB
Volume
23
Category
Article
ISSN
0883-7252

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✦ Synopsis

Abstract

We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value‐at‐risk and extremal linkages were significantly altered by 9/11. We test whether semi‐parametric quantile estimates of ‘downside risk’ and ‘upward potential’ have increased after 9/11. The same methodology allows one to estimate probabilities of joint booms and busts for pairs of sectoral indices or for a sectoral index and a market portfolio. The latter probabilities measure the sectoral response to macro shocks during periods of financial stress (so‐called ‘tail‐βs’). Taking 9/11 as the sample midpoint we find that tail‐βs often increase in a statistically and economically significant way. This might be due to perceived risk of new terrorist attacks. Copyright © 2008 John Wiley & Sons, Ltd.

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