Non-stationary in extreme share return: World indices application

This paper investigates the behaviour of the extreme share return for the 26 different major indices shares by exploring their stationarity. Extreme return for weekly and monthly series is generated by using block maxima method. Four-employed test permits us to spot non-stationarity in extreme movem...

Full description

Saved in:
Bibliographic Details
Main Authors: Marsani, Muhammad Fadhil, Shabri, Ani
Format: Article
Language:English
Published: Akademi Sains Malaysia 2020
Subjects:
Online Access:http://eprints.utm.my/id/eprint/91499/1/AniShabri2020_Non-StationaryinExtremeShareReturn.pdf
http://eprints.utm.my/id/eprint/91499/
http://dx.doi.org/10.32802/asmscj.2020.sm26(1.16)
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Universiti Teknologi Malaysia
Language: English
id my.utm.91499
record_format eprints
spelling my.utm.914992021-06-30T12:17:22Z http://eprints.utm.my/id/eprint/91499/ Non-stationary in extreme share return: World indices application Marsani, Muhammad Fadhil Shabri, Ani QA Mathematics This paper investigates the behaviour of the extreme share return for the 26 different major indices shares by exploring their stationarity. Extreme return for weekly and monthly series is generated by using block maxima method. Four-employed test permits us to spot non-stationarity in extreme movement. The Augmented Dickey-Fuller and Kwiatkowski Phillips Schmidt Shin (KPSS) test scanned the unit root and the stationarity, and Mann-Kendall and Spearman's test inspected the trend and correlation in the series. Our approach approximates global stock returns for weekly and monthly series market activity. We find most of the extreme stock to be active in shift movement, and we have confirmed that the movement of extreme share return for the majority of the stock indices in the weekly and monthly interval is non-stationary. This testified statistical property in the series can be used as the first crucial appraisal when scrutinizing extreme share return for future research. Akademi Sains Malaysia 2020 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/91499/1/AniShabri2020_Non-StationaryinExtremeShareReturn.pdf Marsani, Muhammad Fadhil and Shabri, Ani (2020) Non-stationary in extreme share return: World indices application. ASM Science Journal, 13 . ISSN 1823-6782 http://dx.doi.org/10.32802/asmscj.2020.sm26(1.16)
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Marsani, Muhammad Fadhil
Shabri, Ani
Non-stationary in extreme share return: World indices application
description This paper investigates the behaviour of the extreme share return for the 26 different major indices shares by exploring their stationarity. Extreme return for weekly and monthly series is generated by using block maxima method. Four-employed test permits us to spot non-stationarity in extreme movement. The Augmented Dickey-Fuller and Kwiatkowski Phillips Schmidt Shin (KPSS) test scanned the unit root and the stationarity, and Mann-Kendall and Spearman's test inspected the trend and correlation in the series. Our approach approximates global stock returns for weekly and monthly series market activity. We find most of the extreme stock to be active in shift movement, and we have confirmed that the movement of extreme share return for the majority of the stock indices in the weekly and monthly interval is non-stationary. This testified statistical property in the series can be used as the first crucial appraisal when scrutinizing extreme share return for future research.
format Article
author Marsani, Muhammad Fadhil
Shabri, Ani
author_facet Marsani, Muhammad Fadhil
Shabri, Ani
author_sort Marsani, Muhammad Fadhil
title Non-stationary in extreme share return: World indices application
title_short Non-stationary in extreme share return: World indices application
title_full Non-stationary in extreme share return: World indices application
title_fullStr Non-stationary in extreme share return: World indices application
title_full_unstemmed Non-stationary in extreme share return: World indices application
title_sort non-stationary in extreme share return: world indices application
publisher Akademi Sains Malaysia
publishDate 2020
url http://eprints.utm.my/id/eprint/91499/1/AniShabri2020_Non-StationaryinExtremeShareReturn.pdf
http://eprints.utm.my/id/eprint/91499/
http://dx.doi.org/10.32802/asmscj.2020.sm26(1.16)
_version_ 1705056722462179328