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

• Main Authors: Marsani, Muhammad Fadhil, Shabri, Ani, Badyalina, Basri, Mat Jan, Nur Amalina, Mohd. Kasihmuddin, Mohd. Shareduwan
• 格式: Article
• 語言: English
• 出版: Penerbit UTM Press 2022
• 主題: QA Mathematics
• 在線閱讀: http://eprints.utm.my/102920/1/AniShabri2022_EfficientMarketHypothesisforMalaysianExtreme.pdf; http://eprints.utm.my/102920/; https://matematika.utm.my/index.php/matematika/article/view/1396

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...