The asymptotic distribution of extreme stock market returns

Article Abstract:

A study of extreme stock market price movements was conducted. It covers the radical shifts of the American stock exchange over a century of everyday observations from 1885 to 1990. Extreme movement is defined as the stock market index's lowest daily return and highest daily return observed over a certain timeframe. Extreme value theory posits that the form of the distribution of extreme returns is accurately known and independent of the process generating returns. The sample used in the study consists of 29,641 daily observations of an index of the most traded stocks on the New York Stock Exchange. It is demonstrated that the distribution of minima and maxima is a Frechet distribution.

Research, Prices and rates, Stock-exchange, Stock exchanges, Stock prices

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Model portfolios: recent developments

Article Abstract:

Developments in three model portfolios over the past week are discussed. Schlumberger Ltd. has been included in Portfolio I, replacing Walgreen, while Portfolios II and III were unchanged.

United States, Commercial Banks, Investment Banking and Securities Dealing, Forecasts, trends, outlooks, Portfolio Management, Portfolio & Funds Management, Methods, Forecasts and trends, Market trend/market analysis, Table

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