The distribution of extreme share return in different Malaysian economic circumstances

Authors

  • Muhammad Fadhil Marsani Universiti Teknologi Malaysia
  • Ani Shabri Universiti Teknologi Malaysia

DOI:

https://doi.org/10.11113/mjfas.v16n1.1356

Keywords:

Value-at-risk (VaR), Extreme share returns, Bursa Malaysia, Kuala Lumpur Stock Exchange, Generalized lambda distribution (GLD)

Abstract

This study evaluated the performance of probability distribution in various financial periods by investigating the effect of economic cycle on extreme stock return activity. Malaysian stock price KLCI data from 1994–2008 were split into three economy periods correspond to the growth, financial crisis, and the recovery. Four prevalent distributions specifically generalized lambda distribution (GLD), generalized extreme value (GEV), generalized logistic (GLO), and generalized pareto (GPA) were employed to model weekly and monthly maximum and minimum Kuala Lumpur Composite Index (KLCI) share returns. The L-moment approach was used to estimate the parameter while k-sample Anderson darling (k-ad) test was applied to measure the goodness of fit estimation. In conclusion, GLD is the most appropriate distribution representing a weekly maximum minimum return for overall three economic scenarios in Malaysia.

Author Biography

Muhammad Fadhil Marsani, Universiti Teknologi Malaysia

Muhammad Fadhil Bin Marsani was born on December 22, 1991.
He obtained a Bachelor of Science degree in Applied Science Mathematics and Economics
from the University Science Malaysia, and a Masters
of Science degree in Statistics from Universiti Kebangsaan Malaysia, in 2015.
Presently, he is a Ph.D. student at Universiti Teknologi Malaysia, under
the Department of Mathematical Sciences.

Dr Ani Shabri is Lecturer in Statistics from Department of Mathematical Sciences, Faculty of Science,
Universiti Teknologi Malaysia

His Research Interests is in Time series forecasting and Flood Frequency Analysis.
Qualifications:
PhD in Statistics (UKM)
M.Sc. in Statistics (UTM)
B.Sc. in Science Mathematics (UTM)

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Published

02-02-2020