Efficient Market Hypothesis for Malaysian Extreme Stock Return: Peaks Over A Threshold Method

Authors

  • Muhammad Fadhil Marsani Universiti Teknologi Malaysia
  • Ani Shabri
  • Basri Badyalina
  • Nur Amalina Mat Jan
  • Mohd Shareduwan Mohd Kasihmuddin

Abstract

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 autocorrelation, Kwiatkowski Phillips Schmidt Shin (KPSS), and variance ratio tests. The tests constituted of daily, extreme maximum and minimum, and three sub-periods data reflecting different economic condition in the market. Results indicated the strong influences of the financial crisis in the series movement. Mixed evidences were acquired; nonetheless, the overall results show that the Malaysia extreme stock return does not follow a random walk, only the series during the crisis and recovery period are in weak-form market efficiency. 

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Published

2022-08-31

How to Cite

Marsani, M. F., Shabri, A., Basri Badyalina, Mat Jan, N. A. ., & Mohd Kasihmuddin, M. S. . (2022). Efficient Market Hypothesis for Malaysian Extreme Stock Return: Peaks Over A Threshold Method. MATEMATIKA: Malaysian Journal of Industrial and Applied Mathematics, 38(2), 141–155. Retrieved from https://matematika.utm.my/index.php/matematika/article/view/1396

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