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The distribution of extreme share return in different Malaysian economic circumstances

Marsani, Muhammad Fadhil and Shabri, Ani (2020) The distribution of extreme share return in different Malaysian economic circumstances. Malaysian Journal of Fundamental and Applied Sciences, 16 (1). pp. 75-80. ISSN 2289-5981


Official URL: https://mjfas.utm.my/index.php/mjfas/article/view/...


This paper presents a study on 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 corresponding to the growth, financial crisis, and recovery. Four prevalent distributions, specifically generalized lambda distribution (GLD), generalized extreme value (GEV), generalized logistic (GLO), and generalized pareto (GPA) had been employed to model weekly and monthly maximum and minimum share returns of Kuala Lumpur Composite Index (KLCI). L-moment approach had been used to estimate the parameter, while k-sample Anderson darling (k-ad) test had been applied to measure the goodness of fit estimation. In conclusion, GLD is the most appropriate distribution to represent weekly maximum and minimum returns for overall three economic scenarios in Malaysia.

Item Type:Article
Uncontrolled Keywords:Value-at-risk (VaR), extreme share returns, Bursa Malaysia, Kuala Lumpur composite index (KLCI), generalized lambda distribution (GLD)
Subjects:Q Science > QA Mathematics
ID Code:85571
Deposited By: Fazli Masari
Deposited On:30 Jun 2020 16:50
Last Modified:30 Jun 2020 16:50

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