Efficient Market Hypothesis for Malaysian Extreme Stock Return: Peaks Over A Threshold Method
Muhammad Fadhil Marsani,
Ani Shabri,
Basri Badyalina
et al.
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… Show more
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