Stock Market Performance: Foretelling and Crisis Signalling?

Vincent Lim and Nurulhuda Mohd. Hussain
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Nurulhuda Mohd. Hussain: The South East Asian Central Banks (SEACEN) Research and Training Centre

Working Papers from South East Asian Central Banks (SEACEN) Research and Training Centre

Abstract: Based on the authors’ empirical results, using the Extreme Value theory, they conclude that stock market performance, particularly in times of vulnerabilities, does contain some information which may signal an impending crisis. This signal can be within the same month up to between 1- 3 months ahead. They are, however, not arguing that policymakers must take into account asset prices in their policy decisions. On the contrary, they argue that policymakers may want to be proactive and react accordingly to lessen the likelihood and impact of potential crisis in the making.

Keywords: Extreme Value Theory; Financial Crisis; Stock Markets; Crisis Signalling (search for similar items in EconPapers)
JEL-codes: G01 G15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2014-03
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Citations: View citations in EconPapers (1)

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