The tail behavior of stock index return on the Jamaican Stock Exchange

Temisan Agbeyegbe ()

No 305, Hunter College Department of Economics Working Papers from Hunter College: Department of Economics

Abstract: This paper is concerned with the application of extreme value theory (EVT) to daily stock market closing prices on the Jamaican Stock Exchange to determine whether or not stock market returns follow a heavy-tail stable distribution. Our empirical result does not reject a heavy tail stable distribution for returns. It also establishes that the Jamaican Stock Exchange return index has a significantly fatter tail than returns from industrial markets.

Keywords: Extreme; market; return.. (search for similar items in EconPapers)
JEL-codes: G15 E44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fmk and nep-rmg
Date: 2003
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Persistent link: http://EconPapers.repec.org/RePEc:htr:hcecon:305

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