Actual and potential market risks during the stock market turmoil 2007--2008
The aim of this article is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the 2-year period 2007 to 2008 can be analysed with the help of (<italic>λ</italic>, <italic>σ</italic> -super-2)-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic system generating DJIA returns is used as the stability measure, <italic>λ</italic>, whereas the squared DJIA return is used as the variability measure, <italic>σ</italic> -super-2. The main findings are as follows: (i) the potential market risk in the DJIA did not fluctuate that much during 2007, with the exceptions of early fall and near the end of the year; (ii) the potential market risk fluctuated a lot during 2008, especially in early August and in the middle of September; and (iii) the actual market risk in the DJIA was considerably higher near the end of 2008, especially in October, compared with the rest of the period.
Year of publication: |
2012
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Authors: | Bask, Mikael ; Widerberg, Anna |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 22.2012, 5, p. 339-349
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Publisher: |
Taylor & Francis Journals |
Saved in:
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