Exploring the distribution of security index prices during periods of distress: Evidence from International stock markets

Samuel Tabot Enow
Additional contact information
Samuel Tabot Enow: Research Associate, The IIE VEGA School

International Journal of Research in Business and Social Science (2147-4478), 2023, vol. 12, issue 6, 189-196

Abstract: Stock return modeling is essential for active investors and market players. Value and risk analysis benefit from these simulations. Despite extensive study on stock price modeling, little is understood about how internal and external shocks affect stock market returns. Therefore, this study sought to fill this gap. A sample of five international financial markets from December 1, 2007, to June 30, 2009 and January 1, 2020 to December 31, 2021, the 2007-2008 financial crisis and most recent COVID-19 pandemic, were tested using a Cramer-von Mises and Watson test. Research showed that internal market volatility is more damaging than external shocks. During financial instability driven by external shocks, portfolio managers should expect two to three standard deviations of volatility. However, financial system shocks should cause a greater range of volatility. The authors believe this is the first study to predict stock market returns in reaction to regulatory announcements from market shocks. Key Words:Stock price distribution, Cramer-von Mises, Watson Test, Price modelling, Stock markets

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ssbfnet.com/ojs/index.php/ijrbs/article/view/2670/1949 (application/pdf)
https://doi.org/10.20525/ijrbs.v12i6.2670 (text/html)

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: https://EconPapers.repec.org/RePEc:rbs:ijbrss:v:12:y:2023:i:6:p:189-196

Access Statistics for this article

International Journal of Research in Business and Social Science (2147-4478) is currently edited by Prof.Dr.Umit Hacioglu

More articles in International Journal of Research in Business and Social Science (2147-4478) from Center for the Strategic Studies in Business and Finance Editorial Office,Baris Mah. Enver Adakan Cd. No: 5/8, Beylikduzu, Istanbul, Turkey. Contact information at EDIRC.
Bibliographic data for series maintained by Umit Hacioglu ().