Financial maps

Financial maps

Prof. François Longin

A new for this website: Financial maps

The financial maps provide a visual representation of key financial measures of financial markets worldwide.

The current version focuses on the following performance and risk measures:

  • Performance measured by the average return
  • Risk measured by the Value at Risk (VaR)
  • Extreme risk measured by the Stress Value (SV)

You will find below an example of financial maps for the equity markets. For each country, we chose the equity index that best represented the national market.

Performance map

Performance map

Risk map

Risk map

Extreme risk map

Extreme risk map

The financial map for extreme risk is based on the following academic research:

Longin F. (1996) The asymptotic distribution of extreme stock market returns Journal of Business, N°63, pp 383-408.

Longin F. (2000) From VaR to stress testing: the extreme value approach Journal of Banking and Finance, N°24, pp 1097-1130.

Longin F. and B. Solnik (2001) Extreme correlation of international equity markets Journal of Finance, N°56, pp 651-678.

Longin F. (2016) Extreme events in finance: a handbook of extreme value theory and its applications Wiley Editions.

This project will be regularly updated with new financial data and relevant measures.

More information about financial indexes

The basics to know about financial indexes:

   ▶ Financial indexes

   ▶ Calculation of financial indexes

   ▶ Float

Examples of countries covered by the financial maps:

   ▶ The United States The S&P 500 index

   ▶ China The CSI 300 index

   ▶ The United Kingdom The FTSE 100 index

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Is bitcoin the new digital gold?

Is bitcoin the new digital gold?

Konstantinos Gkillas Patras University Article on capital controls

Is bitcoin the new digital gold? Ten years after the seminal work of Satoshi Nakamoto in 2008, at which time he introduced the bitcoin, a heated debate has started about this matter, and a wide audience has participated, including academics, practitioners (asset managers, financial advisors and investors) and journalists in the financial press. Although bitcoin and gold are two basically different assets in several respects (free of sovereign risk and independent from regulatory authorities), their statistical behavior leads us to consider if bitcoin – similarly to gold – could provide diversification benefits during downside market conditions. Such market conditions are a primary concern for investors.

To contribute to the current debate for the role of bitcoin as a new digital gold, we examine the potential benefits of bitcoin during extremely volatile periods in financial markets, using the multivariate extreme value theory. This statistical theory is the appropriate approach to model the tail dependence structure.

For our analysis, we focused on the correlation of extreme returns and we adopted a four-step research strategy.

Step 1. We considered a position in equity markets (Europe and the United States). We found that the extreme correlation increases during stock market crashes and decreases during stock market booms.

Step 2. We combined each equity market with bitcoin. We found that the correlation of extreme returns sharply decreases during both market booms and crashes. This means that bitcoin can play an important role in portfolio risk management during extreme market movements.

Step 3. We combined each equity market with gold. We found a similar result, confirming the well-recognized status of gold as a safe haven.

Step 4. We examined the joint behavior of bitcoin and gold. We found a low level of extreme correlation. This means that bitcoin and gold can be useful together in an equity portfolio in times of turbulence in financial markets.

Is bitcoin the new digital gold?

Our findings showed that bitcoin can be considered as the new digital gold. However, gold is still important in an equity portfolio. To the question: “Is bitcoin the new digital gold?” we answer that both bitcoin and gold are the best choice.

Gkillas, K. and Longin, F. (2018). Is Bitcoin the New Digital Gold? Evidence from Extreme Price Movements in Financial Markets.

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ESSEC Workshop on “Nonstandard Investment Choice” – September 20, 2019

The ESSEC Finance Department is delighted to organize a Workshop on “Nonstandard Investment Choice” that will take place on September 20, 2019 at ESSEC Campus in Cergy.
To register, please use our Eventbrite space.
Please visit our website to consult the program:

Sincerely yours,
Andrea Roncoroni & Roméo Tédongap – Co-Organizers

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