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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my.utm.1029202023-10-01T00:49:10Z http://eprints.utm.my/102920/ Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method Marsani, Muhammad Fadhil Shabri, Ani Badyalina, Basri Mat Jan, Nur Amalina Mohd. Kasihmuddin, Mohd. Shareduwan QA Mathematics 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 autocorrelation, Kwiatkowski Phillips Schmidt Shin (KPSS), and variance ratio tests. The tests constituted of daily, extreme maximum and minimum, and three sub-periods data reflecting different economic condition in the market. Results indicated the strong influences of the financial crisis in the series movement. Mixed evidences were acquired; nonetheless, the overall results show that the Malaysia extreme stock return does not follow a random walk, only the series during the crisis and recovery period are in weak-form market efficiency. Penerbit UTM Press 2022-08 Article PeerReviewed application/pdf en http://eprints.utm.my/102920/1/AniShabri2022_EfficientMarketHypothesisforMalaysianExtreme.pdf Marsani, Muhammad Fadhil and Shabri, Ani and Badyalina, Basri and Mat Jan, Nur Amalina and Mohd. Kasihmuddin, Mohd. Shareduwan (2022) Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method. MATEMATIKA: Malaysian Journal of Industrial and Applied Mathematics, 38 (2). pp. 141-155. ISSN 0127-8274 https://matematika.utm.my/index.php/matematika/article/view/1396 NA |
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QA Mathematics Marsani, Muhammad Fadhil Shabri, Ani Badyalina, Basri Mat Jan, Nur Amalina Mohd. Kasihmuddin, Mohd. Shareduwan Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method |
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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 autocorrelation, Kwiatkowski Phillips Schmidt Shin (KPSS), and variance ratio tests. The tests constituted of daily, extreme maximum and minimum, and three sub-periods data reflecting different economic condition in the market. Results indicated the strong influences of the financial crisis in the series movement. Mixed evidences were acquired; nonetheless, the overall results show that the Malaysia extreme stock return does not follow a random walk, only the series during the crisis and recovery period are in weak-form market efficiency. |
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Article |
author |
Marsani, Muhammad Fadhil Shabri, Ani Badyalina, Basri Mat Jan, Nur Amalina Mohd. Kasihmuddin, Mohd. Shareduwan |
author_facet |
Marsani, Muhammad Fadhil Shabri, Ani Badyalina, Basri Mat Jan, Nur Amalina Mohd. Kasihmuddin, Mohd. Shareduwan |
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Marsani, Muhammad Fadhil |
title |
Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method |
title_short |
Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method |
title_full |
Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method |
title_fullStr |
Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method |
title_full_unstemmed |
Efficient market hypothesis for Malaysian extreme stock return: peaks over a threshold method |
title_sort |
efficient market hypothesis for malaysian extreme stock return: peaks over a threshold method |
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Penerbit UTM Press |
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2022 |
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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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