Didier Sornette
- Published in print:
- 2017
- Published Online:
- May 2018
- ISBN:
- 9780691175959
- eISBN:
- 9781400885091
- Item type:
- chapter
- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691175959.003.0008
- Subject:
- Business and Management, Finance, Accounting, and Banking
This chapter examines bubbles, crises, and crashes in emergent markets, including six Latin American stock market indices (Mexico, Peru, Argentina, Brazil, Venezuela, and Chile) and six Asian stock ...
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This chapter examines bubbles, crises, and crashes in emergent markets, including six Latin American stock market indices (Mexico, Peru, Argentina, Brazil, Venezuela, and Chile) and six Asian stock market indices (Hong Kong, Philippines, Thailand, Indonesia, Malaysia, and Korea). It also considers the correlation between markets following major international events. After providing an overview of speculative bubbles in emerging markets, the chapter discusses the methodology of the study on the Latin American and Asian markets. It then describes the Russian stock market and concludes with an analysis of the implications of the experiences of emergent markets for mitigations of bubbles, crises, and crashes.Less
This chapter examines bubbles, crises, and crashes in emergent markets, including six Latin American stock market indices (Mexico, Peru, Argentina, Brazil, Venezuela, and Chile) and six Asian stock market indices (Hong Kong, Philippines, Thailand, Indonesia, Malaysia, and Korea). It also considers the correlation between markets following major international events. After providing an overview of speculative bubbles in emerging markets, the chapter discusses the methodology of the study on the Latin American and Asian markets. It then describes the Russian stock market and concludes with an analysis of the implications of the experiences of emergent markets for mitigations of bubbles, crises, and crashes.
Didier Sornette
- Published in print:
- 2017
- Published Online:
- May 2018
- ISBN:
- 9780691175959
- eISBN:
- 9781400885091
- Item type:
- chapter
- Publisher:
- Princeton University Press
- DOI:
- 10.23943/princeton/9780691175959.003.0003
- Subject:
- Business and Management, Finance, Accounting, and Banking
This chapter provides evidence that large financial crashes are “outliers.” It first considers the limitation of standard analyses for characterizing how crashes are special before explaining what ...
More
This chapter provides evidence that large financial crashes are “outliers.” It first considers the limitation of standard analyses for characterizing how crashes are special before explaining what abnormal returns are. It then discusses the results of a study of the frequency distribution of drawdowns, or runs of successive losses, and shows that large financial crashes form a class of their own that can be seen from their statistical signatures. It also examines the expected distribution of “normal” drawdowns, along with the drawdown distributions of stock market indices such as the Dow Jones Industrial Average and the Nasdaq index. The chapter argues that the presence of outliers is a general phenomenon and concludes by describing how large drawdowns and crashes that result from a run of losses over several successive days affect the regulation of stock markets.Less
This chapter provides evidence that large financial crashes are “outliers.” It first considers the limitation of standard analyses for characterizing how crashes are special before explaining what abnormal returns are. It then discusses the results of a study of the frequency distribution of drawdowns, or runs of successive losses, and shows that large financial crashes form a class of their own that can be seen from their statistical signatures. It also examines the expected distribution of “normal” drawdowns, along with the drawdown distributions of stock market indices such as the Dow Jones Industrial Average and the Nasdaq index. The chapter argues that the presence of outliers is a general phenomenon and concludes by describing how large drawdowns and crashes that result from a run of losses over several successive days affect the regulation of stock markets.
