Non-Stationary in Extreme Share Return: World Indices Application

Abstract

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. Keywords: Extreme share returns; block maxima method; non-stationary; stock market; major indices

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

“…Most studies in the field of share price only focused on the behaviour of regular daily return. To the our best of our knowledge, no known empirical research has focused on exploring the movement of extreme stock return considering the economic condition, except by [19] who focused on investigating extreme asset behaviour according to block maxima approach.…”