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...
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2020
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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) |
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QA Mathematics Marsani, Muhammad Fadhil Shabri, Ani Non-stationary in extreme share return: World indices application |
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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 |
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Non-stationary in extreme share return: World indices application |
title_sort |
non-stationary in extreme share return: world indices application |
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Akademi Sains Malaysia |
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2020 |
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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) |
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