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Stock Market Performance: Foretelling and Crisis Signalling?

Author

Listed:
  • Vincent Choon-Seng Lim

    (The South East Asian Central Banks (SEACEN) Research and Training Centre)

  • Nurulhuda Mohd. Hussain

    (The South East Asian Central Banks (SEACEN) Research and Training Centre)

Abstract

Based on the authors’ empirical results, using the Extreme Value theory, they conclude that stock market performance, particularly in times of vulnerabilities, does contain some information which may signal an impending crisis. This signal can be within the same month up to between 1- 3 months ahead. They are, however, not arguing that policymakers must take into account asset prices in their policy decisions. On the contrary, they argue that policymakers may want to be proactive and react accordingly to lessen the likelihood and impact of potential crisis in the making.

Suggested Citation

  • Vincent Choon-Seng Lim & Nurulhuda Mohd. Hussain, 2014. "Stock Market Performance: Foretelling and Crisis Signalling?," Working Papers wp01, South East Asian Central Banks (SEACEN) Research and Training Centre.
    • Handle: RePEc:sea:wpaper:wp01
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    File URL: https://www.seacen.org/publications/RePEc/702003-100333-PDF.pdf
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    References listed on IDEAS

    as
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    10. Reza Siregar & Victor Pontines & Nurulhuda Mohd Hussain, 2010. "The US Sub-prime Crises and Extreme Exchange Market Pressures in Asia," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp75.
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    Cited by:

    1. Eufrocinio M. Bernabe, Jr. & Dongkoo Chang, 2014. "Policy Strategy Towards Achieving Investment Grade Status for Emerging Economies," Working Papers wp04, South East Asian Central Banks (SEACEN) Research and Training Centre.

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    More about this item

    Keywords

    Extreme Value Theory; Financial Crisis; Stock Markets; Crisis Signalling;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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