A multi-pronged analysis of common and market-specific equity outliers across the G7, China, and global markets using country ETFs

Abbas Valadkhani

Finance Research Letters, 2025, vol. 74, issue C

Abstract: This study analyzes unexpected upside and downside outlier movements in equity returns across G7 countries, China, and the world from July 2008 to September 2024. Using methods like Tukey fences, ARMA, and Wavelet analysis, it identifies the frequency, characteristics, and origins (common or country-specific) of these movements. By controlling for global co-movements, country-specific outliers are isolated, revealing distinct patterns for each market. Outliers were most prevalent during the Global Financial Crisis (2008–2011) and the post-COVID-19 period (2020–2022), with significant variations across countries. The results enhance understanding of market disruptions, offering insights for risk management and investment strategies.

Keywords: Equity outliers; G7 countries; China; Exchange-traded funds; Investment strategies (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:74:y:2025:i:c:s1544612325000364

DOI: 10.1016/j.frl.2025.106771

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