Testing market responses under extreme risks
极端风险条件下的市场反应检验

Voluminous studies have demonstrated theoretically and empirically that psychology plays a very important role in investor's trading behaviors.However,studies investigating market response to extreme risks are still inaccessible to our knowledge.This paper provides a statistical method to testify market response to extreme risks based on value at risk.Empirical results performed on US Dow Jones Industrial Average index demonstrate the market irrational response to extreme risk:at long-horizons,the market te...