Stefan Straetmans
;
Willem F. C. Verschoor
;
Christian C. P. Wolff

extreme us stock market fluctuations in the wake of 9/11 (replication data)

We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value-at-risk and extremal linkages were significantly altered by 9/11. We test whether semi-parametric quantile estimates of downside risk and upward potential have increased after 9/11. The same methodology allows one to estimate probabilities of joint booms and busts for pairs of sectoral indices or for a sectoral index and a market portfolio. The latter probabilities measure the sectoral response to macro shocks during periods of financial stress (so-called tail-s). Taking 9/11 as the sample midpoint we find that tail-?s often increase in a statistically and economically significant way. This might be due to perceived risk of new terrorist attacks.

Data and Resources

Suggested Citation

Straetmans, Stefan; Verschoor, Willem F. C.; Wolff, Christian C. P. (2008): Extreme US stock market fluctuations in the wake of 9/11 (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0718953027