Large Impact Events and Financial Markets

Abstract

This paper will discuss large impact events in financial markets. Two different datasets are investigated; daily data for the SP500 Index from the period 1950 to 2010 and monthly data from 1997-2010 for 23 global stock market indices. We find that the daily returns for the SP-500 are more volatile than expected. Two normality test are also run on the global stock market indices dataset. The results are mixed whether the data is normaly distributed or not. However a significant negative skew and a high degree of peakness (leptokurtic) is found to be present