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Disentangling Crashes from Tail Events

Author

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  • Sofiane Aboura

    (CEREG - Centre de Recherche sur la gestion et la Finance - DRM UMR 7088 - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

Abstract

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent financial turmoil. However, the question on what differentiates a crash from a tail event remains unsolved. This article elaborates a new definition of stock market crash taking a risk management perspective based on an augmented extreme value theory methodology. An empirical test on the French stock market (1968–2008) indicates that it experienced only two crashes in 2007–2008 among the 12 identified over the whole period.

Suggested Citation

  • Sofiane Aboura, 2015. "Disentangling Crashes from Tail Events," Post-Print halshs-01348725, HAL.
    • Handle: RePEc:hal:journl:halshs-01348725
    DOI: 10.1002/ijfe.1510
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    Cited by:

    1. Sofiane Aboura, 2016. "Individual investors and stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 477-485, December.
    2. Polanski, Arnold & Stoja, Evarist & Chiu, Ching-Wai (Jeremy), 2019. "Tail risk interdependence," Bank of England working papers 815, Bank of England.

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