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Sains Malaysiana 38(5)(2009): 745–749
A Simple Power-Law Tail Estimation of
Financial Stock Return
(Penganggaran Hukum-Kuasa Taburan Hujung terhadap Pulangan Saham Kewangan)
Chin Wen Cheong*
Faculty of Information Technology, Multimedia
University
63100 Cyberjaya,
Selangor, D.E., Malaysia
Abu Hassan Shaari Mohd Nor
Faculty of Economic and Business, University
Kebangsaan Malaysia
43600 UKM Bangi, Selangor,
D.E., Malaysia
Zaidi Isa
Faculty of Science Technology, University
Kebangsaan Malaysia
43600 UKM Bangi, Selangor,
D.E., Malaysia
Received: 22 September 2008 / Accepted:
11 November 2008
ABSTRACT
This study
proposes a simple methodology to estimate the power-law tail index of the
Malaysian stock exchange by using the maximum likelihood Hill’s estimator.
Recursive procedures base on empirical distribution tests are use to determine
the threshold number of observations in the tail estimation. The threshold
extreme values can be selected bases on the desired level of p-value in the goodness-of-fit tests. Finally, these
procedures are apply to three indices in the Malaysian
stock exchange.
Keyword:
Goodness-of-fit test; Hill estimator; power-law distribution; stock exchange
ABSTRAK
Kajian ini bertujuan menganggarkan indeks hukum kuasa taburan hujung ke atas bursa saham Malaysia dengan menggunakan penganggar Hill. Prosedur rekursif berdasarkan ujian taburan empirik digunakan untuk menentukan nombor ambang bagi pencerapan di dalam penganggaran hujung. Nilai ambang melampau dipilih berdasarkan kepada aras nilai-p ujian ketepatan padanan. Akhir sekali, prosedur ini dilaksanakan ke atas tiga indek di bursa saham Malaysia.
Kata kunci: Bursa saham; penganggar Hill; taburan hukum-kuasa; ujian ketepatan padanan
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*Corresponding author; email: wcchin@mmu.edu.my
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