Is the United States Stock Market Getting Riskier?
Is the United States Stock Market Getting Riskier?
Author(s): Ronny SuarezSubject(s): Economy, National Economy, Business Economy / Management, Financial Markets
Published by: ASERS Publishing
Keywords: S&P500; generalized pareto distribution; return level
Summary/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.
Journal: Journal of Advanced Studies in Finance (JASF)
- Issue Year: VIII/2017
- Issue No: 15
- Page Range: 66-72
- Page Count: 7
- Language: English
- Content File-PDF