Exploring the distribution of security index prices during periods of distress: Evidence from International stock markets

Stock return modeling is essential for active investors and market players. Value risk analysis benefit from these simulations. Despite extensive study on stock price modeling, little understood about how internal external shocks affect returns. Therefore, this sought to fill gap. A sample of five international financial markets December 1, 2007, June 30, 2009 January 2020 31, 2021, the 2007-2008 crisis most recent COVID-19 pandemic, were tested using a Cramer-von Mises Watson test. Research showed that volatility more damaging than shocks. During instability driven by shocks, portfolio managers should expect two three standard deviations volatility. However, system cause greater range The authors believe first predict returns in reaction regulatory announcements