broke, while the communications and cable networks related companies KPNQWest, UPC and Versatel stopped recently all payments due to their creditors. For the other 4 stocks which show negative returns, plane builder Fokker went broke, software builder Baan was taken over by the British Invensys, while telecommunications firm KPN and temporary employment agency Vedior are nowadays struggling for survival. The return distribution is strongly leptokurtic for all data series, especially for Ceteco, Fokker, Getronics and Nedlloyd, and is negatively skewed for the AEX-index and 32 stocks. On individual basis the stocks are more risky than the market-weighted AEX-index, as can be seen by the standard deviations and the largest cumulative loss numbers. Thus it is clear that firm specific risks are reduced by a diversified index. The Sharpe ratio is negative for 12 stocks, which means that these stocks were not able to beat a risk free investment. Among them are ABN, KLM and the earlier mentioned stocks. The largest cumulative loss of the AEX-index is equal to 47% and took place in the period August 12, 1987 through November 10, 1987. October 19, 1987 showed the biggest one-day percentage loss in history of the AEX-index and brought the index down by 12%. November 11, 1987 on its turn showed the largest one-day gain and brought the index up by 11.8%. For 30 stocks, for which we have data starting before the crash of 1987, only half showed a largest cumulative loss during the year 1987, and their deterioration started well before October 1987, indicating that stock prices were already decaying for a while before the crash actually happened. The financials, for example, lost approximately half of their value during the 1987 period. For the other stocks, for which we have data after the crash of 1987, the periods of largest decline started ten years later in 1997. Baan, Ceteco, Getronics, KPN, KPNQWest, OCE, UPC and Versatel lost almost their total value within two years during the burst of the internet and telecommunications bubble. The summary statistics show no largest declines after the terrorist attack against the US on September 11, 20011. With hindsight, the overall picture is that financials, chemicals and foods produced the best results.
We computed autocorrelation functions (ACFs) of the returns and significance is tested with Bartlett (1946) standard errors and Diebold's (1986) heteroskedasticity-consistent standard errors2. Typically autocorrelations of the returns are small with only few lags being significant. Without correcting for heteroskedasticity we find for 36 of the 50 stocks a significant first order autocorrelation, while when corrected for heteroskedasticity we find for 24 stocks a significant first order autocorrelation at the 10% significance level.