Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets
Many prior studies regarding the behavior of stock prices have shown that the stock prices are not normally distributed. Some offer stable Paretian to be the distribution, while some others offer the mixture of normals distribution. In this study of Malaysian and five major stock markets, it is show...
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| Language: | en |
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Penerbit Universiti Kebangsaan Malaysia
1990
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| Online Access: | http://journalarticle.ukm.my/7931/1/752-1435-1-SM.pdf http://journalarticle.ukm.my/7931/ http://ejournals.ukm.my/pengurusan/issue/view/199 |
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| _version_ | 1831356314539786240 |
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| author | Othman Yong, |
| author_facet | Othman Yong, |
| author_sort | Othman Yong, |
| building | Tun Sri Lanang Library |
| collection | Institutional Repository |
| content_provider | Universiti Kebangsaan Malaysia |
| content_source | UKM Journal Article Repository |
| continent | Asia |
| country | Malaysia |
| description | Many prior studies regarding the behavior of stock prices have shown that the stock prices are not normally distributed. Some offer stable Paretian to be the distribution, while some others offer the mixture of normals distribution. In this study of Malaysian and five major stock markets, it is shown that stock prices (as reperesented by indices) do exhibit normal distributions, but within short time spans. Longer time spans result in stock prices behave not according to normal distribution. In addition, the differing variances found between periods, indicate that the variances are not constant over time. In conclusion, the results of this study support the hypothesis that stock price movements are mixtures of normals with differing variances as proposed by Hall, Brorsen, and Irwin (1989) in their study regarding the behavior of futures prices. |
| format | Article |
| id | my-ukm.journal-7931 |
| institution | Universiti Kebangsaan Malaysia |
| language | en |
| publishDate | 1990 |
| publisher | Penerbit Universiti Kebangsaan Malaysia |
| record_format | eprints |
| spelling | my-ukm.journal-79312016-12-14T06:45:41Z http://journalarticle.ukm.my/7931/ Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets Othman Yong, Many prior studies regarding the behavior of stock prices have shown that the stock prices are not normally distributed. Some offer stable Paretian to be the distribution, while some others offer the mixture of normals distribution. In this study of Malaysian and five major stock markets, it is shown that stock prices (as reperesented by indices) do exhibit normal distributions, but within short time spans. Longer time spans result in stock prices behave not according to normal distribution. In addition, the differing variances found between periods, indicate that the variances are not constant over time. In conclusion, the results of this study support the hypothesis that stock price movements are mixtures of normals with differing variances as proposed by Hall, Brorsen, and Irwin (1989) in their study regarding the behavior of futures prices. Penerbit Universiti Kebangsaan Malaysia 1990 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/7931/1/752-1435-1-SM.pdf Othman Yong, (1990) Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets. Jurnal Pengurusan, 9 . pp. 53-73. ISSN 0127-2713 http://ejournals.ukm.my/pengurusan/issue/view/199 |
| spellingShingle | Othman Yong, Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets |
| title | Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets |
| title_full | Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets |
| title_fullStr | Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets |
| title_full_unstemmed | Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets |
| title_short | Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets |
| title_sort | normality and homoscedasticity of stock market returns: the case of malaysian and some major stock markets |
| url | http://journalarticle.ukm.my/7931/1/752-1435-1-SM.pdf http://journalarticle.ukm.my/7931/ http://ejournals.ukm.my/pengurusan/issue/view/199 |
| url_provider | http://journalarticle.ukm.my/ |