Economics at your fingertips  

Before the crises: implication for the US stock market

Samer Al-Rjoub ()

International Journal of Trade and Global Markets, 2011, vol. 4, issue 1, 1-12

Abstract: This paper adds new methodology to the existing methods used in the literature of early warning systems and signals approach developed to predict crashes. Results show that the probability of extreme outcomes is much higher before the crises than during the crises. Even though the two distributions are far from normal, the distribution tails for returns before crises is much thicker than that of the distribution for returns during the crises. The fact that kurtosis will register high numbers before the crises is a signal of an upcoming crash.

Keywords: financial crises; asset price bubbles; bursting bubbles; early warning systems; US stock market; USA; United States. (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in International Journal of Trade and Global Markets from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().

Page updated 2022-05-17
Handle: RePEc:ids:ijtrgm:v:4:y:2011:i:1:p:1-12