Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5083963 | International Review of Economics & Finance | 2011 | 11 Pages |
Abstract
We test whether stock returns in the Asian markets are characterized by infinite variance or just large variance, which has an important implication for the applicability of many financial models in Asian market data. Employing the extreme value framework, we find that the Asian index return distributions are fat-tailed but have finite variance. However, the tails of the distributions behave similarly to those in the U.S. and the MSCI World index returns, suggesting that any financial model or risk management tool that incorporates the second moment would work equally well for the Asian market data as it does for developed market data. We apply the Value-at-Risk method using Asian and U.S. data and find no significant difference in performance.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jullavut Kittiakarasakun, Yiuman Tse,