Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method

Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method

This paper presents investigation on the efficient market hypothesis of extreme stock return based on peaks over threshold method, by application of 10% Value at risk (VaR) quantile threshold level. The efficient market hypothesis (EMH) in the stock market index is validated by utilising autocorrela...

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Bibliographic Details
Main Authors: Marsani, Muhammad Fadhil, Shabri, Ani, Badyalina, Basri, Mat Jan, Nur Amalina, Mohd. Kasihmuddin, Mohd. Shareduwan
Format: Article
Language:English
Published: Penerbit UTM Press 2022
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/102920/1/AniShabri2022_EfficientMarketHypothesisforMalaysianExtreme.pdf
http://eprints.utm.my/102920/
https://matematika.utm.my/index.php/matematika/article/view/1396
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Institution: Universiti Teknologi Malaysia
Language: English

Internet

http://eprints.utm.my/102920/1/AniShabri2022_EfficientMarketHypothesisforMalaysianExtreme.pdf
http://eprints.utm.my/102920/
https://matematika.utm.my/index.php/matematika/article/view/1396

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