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

Diserahkan: 22 September 2008 / Diterima: 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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*Pengarang untuk surat-menyurat; email: wcchin@mmu.edu.my