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Before the crises: implication for the US stock market

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  • Samer A.M. Al-Rjoub

Abstract

This paper adds new methodology to the existing methods used in the literature of early warning systems and signals approach developed to predict crashes. Results show that the probability of extreme outcomes is much higher before the crises than during the crises. Even though the two distributions are far from normal, the distribution tails for returns before crises is much thicker than that of the distribution for returns during the crises. The fact that kurtosis will register high numbers before the crises is a signal of an upcoming crash.

Suggested Citation

  • Samer A.M. Al-Rjoub, 2011. "Before the crises: implication for the US stock market," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 4(1), pages 1-12.
    • Handle: RePEc:ids:ijtrgm:v:4:y:2011:i:1:p:1-12
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