tailieunhanh - Modeling the extreme events of the top industrial returns listed in BSE

Extreme price movements in the financial markets are rare, but important the objective of study was to evaluate the extreme events of major industries in BSE. The study was conducted for returns of industries and shows the extreme events to which the industries are scattered for their returns. Many models were undertaken as base for the study, to identify the extreme events of the industries and same has been incorporated for the analysis too. | Modeling the extreme events of the top industrial returns listed in BSE INTERNATIONAL JOURNAL OF MANAGEMENT IJM ISSN 0976-6502 Print ISSN 0976-6510 Online IJM Volume 7 Issue 2 February 2016 pp. 341-353 http ijm IAEME Journal Impact Factor 2016 Calculated by GISI MODELING THE EXTREME EVENTS OF THE TOP INDUSTRIAL RETURNS LISTED IN BSE Sam Jayakumar Assistant professor Jamal Institute of management Jamal Mohamed College Trichy-20 Research scholar Jamal Institute of management Jamal Mohamed College Trichy-20 ABSTRACT Extreme price movements in the financial markets are rare but important the objective of study was to evaluate the extreme events of major industries in BSE. The study was conducted for returns of industries and shows the extreme events to which the industries are scattered for their returns. Many models were undertaken as base for the study to identify the extreme events of the industries and same has been incorporated for the analysis too. Key words Extreme events BSE returns financial markets Cite this Article Sam Jayakumar and . Modeling The Extreme Events of The Top Industrial Returns Listed In BSE. International Journal of Management 7 2 2016 pp. 341-353. http ijm INTRODUCTION AND RELATED WORKS Extreme price movements in the financial markets are rare but important. The stock market crash on Wall Street in October 1987 and other big financial crises such as the Long Term Capital Management and the bankruptcy of Lehman Brothers have attracted a great deal of attention among investors practitioners and researchers. Stock market performance of a large sample of new issues IPOs and SEOs following an extreme price movement during the first three years after the offering. Strong underperformance follows either a positive or negative one-day return event. Financial position uses the historical returns of the instruments involved to compute On