英文摘要 |
This paper applies “extreme value theory” to test if tail risk values of 26industries in Taiwan’s stock market change due to 921 Earthquake. We test if tailindex and tail quantile significantly change due to 921 Earthquake, respectively.That is, our paper concerns if downside risk and upward potential risk for eachsectoral index are consistent prior to and posterior 921 Earthquake. This is called“Structural Change test”. On the other side, we test if left tail quantile (downsiderisk) is the same with the right tail quantile (upward potential risk) before (and after) 921 Earthquake, respectively. This is called “Asymmetric change test”. Besides,this paper future tests if the co-exceedance probabilities for sectoral indices withrespect to market weigthet index, and for paris of sectoral indices have structuraland asymmetric changes prior to and posterior 921 Earthquake.Our empirical results indicate downside risks are significantly larger thanupward risks for most industries posterior to 921 Earthquake. Both downside risksand upward potential risks significantly increase after the 921 Earthquake. Thesefindings imply 921 Earthquake causes the tail risk values to have structural changeon most sectoral indices. On the other hand, after 921 Earthquake, the asymmetriesof tail risk values are more significant. Besides, we find the probabilities ofsimultaneous booms or simultaneous crashes for pairs of sectoral indicies before921 Earthquake are not significantly different from those after 921 Earthquake.However, the probabilities of simultaneous crashes for pairs of sectoral indiciesafter 921 Earthquake are significantly larger than those of simultaneous booms. |