Statistical properties of the aftershocks of stock market crashes revisited: Analysis based on the 1987 crash, financial-crisis-2008 and COVID-19 pandemic

During any unique crisis, panic sell-off leads to a massive stock market crash that may continue for more than day, termed as mainshock. The effect of mainshock in the form aftershocks can be felt throughout recovery phase price. As remains stress during recovery, small perturbation relatively smaller aftershock. duration has been estimated using structural break analysis. We have carried out statistical analyses 1987 crash, 2008 financial crisis and 2020 COVID-19 pandemic considering actual crash-times aftershocks. Earlier, such were done an absolute one-day return, which cannot capture properly. results show aftershock follow Gutenberg-Richter (GR) power law. Further, we obtained higher $\beta$ value compared financial-crisis-2008 from GR This implies price faster financial-crisis-2008. result is consistent with present pandemic. analysis shows high magnitude are rare, low frequent phase. also distribution $P(\tau_i)$ follows generalized Pareto distribution, i.e., $\displaystyle~P(\tau_i)\propto\frac{1}{\{1+\lambda(q-1)\tau_i\}^{\frac{1}{(q-1)}}}$, where $\lambda$ $q$ constants $\tau_i$ inter-occurrence time. help investors restructure their portfolios crash.