The tail exponent for stock returns in Bursa Malaysia for 2003-2008

N. H. Rusli, Geri Kibe Gopir, M. D. Usang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

A developed discipline of econophysics that has been introduced is exhibiting the application of mathematical tools that are usually applied to the physical models for the study of financial models. In this study, an analysis of the time series behavior of several blue chip and penny stock companies in Main Market of Bursa Malaysia has been performed. Generally, the basic quantity being used is the relative price changes or is called the stock price returns, contains daily-sampled data from the beginning of 2003 until the end of 2008, containing 1555 trading days recorded. The aim of this paper is to investigate the tail exponent in tails of the distribution for blue chip stocks and penny stocks financial returns in six years period. By using a standard regression method, it is found that the distribution performed double scaling on the log-log plot of the cumulative probability of the normalized returns. Thus we calculate α for a small scale return as well as large scale return. Based on the result obtained, it is found that the power-law behavior for the probability density functions of the stock price absolute returns P(z)∼z with values lying inside and outside the Lévy stable regime with values α>2. All the results were discussed in detail.

Original languageEnglish
Title of host publicationAIP Conference Proceedings
Pages289-292
Number of pages4
Volume1250
DOIs
Publication statusPublished - 2010
EventProgress of Physics Research in Malaysia, PERFIK2009 - Malacca
Duration: 7 Dec 20099 Dec 2009

Other

OtherProgress of Physics Research in Malaysia, PERFIK2009
CityMalacca
Period7/12/099/12/09

Fingerprint

Malaysia
chips
exponents
probability density functions
regression analysis
plots
scaling

Keywords

  • Levy distribution
  • power-law
  • probability distribution
  • stock market prices

ASJC Scopus subject areas

  • Physics and Astronomy(all)

Cite this

Rusli, N. H., Gopir, G. K., & Usang, M. D. (2010). The tail exponent for stock returns in Bursa Malaysia for 2003-2008. In AIP Conference Proceedings (Vol. 1250, pp. 289-292) https://doi.org/10.1063/1.3469660

The tail exponent for stock returns in Bursa Malaysia for 2003-2008. / Rusli, N. H.; Gopir, Geri Kibe; Usang, M. D.

AIP Conference Proceedings. Vol. 1250 2010. p. 289-292.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Rusli, NH, Gopir, GK & Usang, MD 2010, The tail exponent for stock returns in Bursa Malaysia for 2003-2008. in AIP Conference Proceedings. vol. 1250, pp. 289-292, Progress of Physics Research in Malaysia, PERFIK2009, Malacca, 7/12/09. https://doi.org/10.1063/1.3469660
Rusli NH, Gopir GK, Usang MD. The tail exponent for stock returns in Bursa Malaysia for 2003-2008. In AIP Conference Proceedings. Vol. 1250. 2010. p. 289-292 https://doi.org/10.1063/1.3469660
Rusli, N. H. ; Gopir, Geri Kibe ; Usang, M. D. / The tail exponent for stock returns in Bursa Malaysia for 2003-2008. AIP Conference Proceedings. Vol. 1250 2010. pp. 289-292
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