Measurement errors in stock markets

Hachmi Ben Ameur (), Fredj Jawadi, Abdoulkarim Idi Cheffou and Wael Louhichi
Additional contact information
Hachmi Ben Ameur: INSEEC Business School
Abdoulkarim Idi Cheffou: EDC Paris Business School
Wael Louhichi: ESSCA Business School

Annals of Operations Research, 2018, vol. 262, issue 2, No 4, 287-306

Abstract: Abstract This paper points to further measurement errors in stock markets. In particular, we show that the application of usual performance ratios to evaluate financial assets can lead to inappropriate findings and consequently wrong conclusions. To this end, we analyze standard performance ratios as well as extreme loss-based financial ratios and compare the conclusions with those provided by systemic risk measures. The application of these different measures to both conventional and Islamic stock indexes for developed and emerging countries in the context of the financial crisis yields two interesting results. First, the analysis of financial performance exhibits further measurement errors. Second, the consideration of extreme loss and systemic risk in computing performance measures increases the reliability of performance analysis.

Keywords: Measurement error; Financial performance; Systemic risk; Var; CoVaR and MES (search for similar items in EconPapers)
JEL-codes: C2 C5 G10 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10479-016-2138-z

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