Mixtures of Normal distributions: Application to Bursa Malaysia Stock market indices

Zetty Ain Kamaruzzaman, Zaidi Isa, Mohd Tahir Ismail

Research output: Contribution to journalArticle

5 Citations (Scopus)

Abstract

In this paper, mixture of Normal distributions is proposed to accommodate the non-normality and asymmetry characteristics of financial time series data as found in the distribution of monthly rates of returns for three indices of Bursa Malaysia Index Series namely the FTSE Bursa Malaysia Composite Index (FBM KLCI), the Finance Index and the Industrial Index from July 1990 until July 2010. We also present the most commonly used Maximum Likelihood Estimation (MLE) via the EM algorithm to fit the two-component mixture of Normal distribution using data sets on logarithmic stock returns of Bursa Malaysia indices.

Original languageEnglish
Pages (from-to)781-790
Number of pages10
JournalWorld Applied Sciences Journal
Volume16
Issue number6
Publication statusPublished - 2012

Fingerprint

Stock market index
Normal distribution
Malaysia
Rate of return
Composite index
Financial time series
Stock returns
Finance
Time series data
EM algorithm
Non-normality
Asymmetry
Maximum likelihood estimation

Keywords

  • Behaviour of financial time series
  • Bursa Malaysia stock market indices
  • EM algorithm
  • Mixture of Normal distributions

ASJC Scopus subject areas

  • General

Cite this

Mixtures of Normal distributions : Application to Bursa Malaysia Stock market indices. / Kamaruzzaman, Zetty Ain; Isa, Zaidi; Ismail, Mohd Tahir.

In: World Applied Sciences Journal, Vol. 16, No. 6, 2012, p. 781-790.

Research output: Contribution to journalArticle

Kamaruzzaman, Zetty Ain ; Isa, Zaidi ; Ismail, Mohd Tahir. / Mixtures of Normal distributions : Application to Bursa Malaysia Stock market indices. In: World Applied Sciences Journal. 2012 ; Vol. 16, No. 6. pp. 781-790.
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