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DC Field | Value | Language |
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dc.contributor.author | Tolikas, K | - |
dc.contributor.editor | Fifield, SGM | - |
dc.date.accessioned | 2016-10-12T14:49:55Z | - |
dc.date.available | 2011-02-22 | - |
dc.date.available | 2016-10-12T14:49:55Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | Managerial Finance,37 (3): pp. 275 - 294, (2011) | en_US |
dc.identifier.issn | 0307-4358 | - |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/13339 | - |
dc.description.abstract | Purpose: To investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996 to 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 GL distribution best fitted the empirical data over the period of study. Practical implications: Using the GEV 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 my knowledge this is the first study to examine the lower tail distribution of daily returns for African emerging stock markets. | en_US |
dc.format.extent | 275 - 294 | - |
dc.language.iso | en | en_US |
dc.publisher | Emerald | en_US |
dc.subject | African stock markets | en_US |
dc.subject | Extreme share returns | en_US |
dc.subject | Risk measurement | en_US |
dc.subject | Generalised Logistic distribution | en_US |
dc.subject | Generalised Extreme Value distribution | en_US |
dc.subject | Lmoments | en_US |
dc.title | The rare event risk in African emerging stock markets | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1108/03074351111113324 | - |
dc.relation.isPartOf | Managerial Finance | - |
pubs.issue | 3 | - |
pubs.publication-status | Published | - |
pubs.volume | 37 | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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File | Description | Size | Format | |
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Fulltext.pdf | 254.46 kB | Adobe PDF | View/Open |
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