| Summary: | 碩士 === 國立成功大學 === 經濟學系碩博士班 === 101 === This paper applies “extreme value theory” to examine if risk indices of 23 sectoral indices based on the firms which composes the S＆P 500 index in U.S. stock market change due to subprime mortgage crisis. We respectively test if tail risk and tail quantile index significantly change due to subprime mortage crisis. That is, we concern if downside risk and upward potential risk before subprime mortgage crisis on each sectoral index are consistent with those after subprime mortgage crisis.
This is called “Structural Change test.” On the other side, we analyze if left risk index (downside risk) is the same before subprime mortgage crisis with the right risk index after subprime mortgage crisis, respectively. This is called “Asymmetric test.” Besides, this paper implements the tests on the asymmetric and structural change on co-movements for pairs of sectoral indices.
The empirical results find that down side risk is significantly larger than upward risk for most industries after subprime mortgage crisis. Both downside risk and upward potential risk also significantly increase after the subprime mortgage crisis. Our results provide the evidences that Subprime Mortgage Crisis cause the structural and asymmetric change on indices for most industries. After Subprime Mortgage Crisis, the asymmetry of risk indices is more significant.
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