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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Main Author:	Othman Yong
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1990
Online Access:	http://journalarticle.ukm.my/7931/ http://journalarticle.ukm.my/7931/ http://journalarticle.ukm.my/7931/1/752-1435-1-SM.pdf

id	ukm-7931
recordtype	eprints
spelling	ukm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
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
author	Othman Yong,
spellingShingle	Othman Yong, Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets
author_facet	Othman Yong,
author_sort	Othman Yong,
title	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_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_sort	normality and homoscedasticity of stock market returns: the case of malaysian and some major stock markets
publisher	Penerbit Universiti Kebangsaan Malaysia
publishDate	1990
url	http://journalarticle.ukm.my/7931/ http://journalarticle.ukm.my/7931/ http://journalarticle.ukm.my/7931/1/752-1435-1-SM.pdf
first_indexed	2023-09-18T19:51:02Z
last_indexed	2023-09-18T19:51:02Z
_version_	1777406220970229760

Normality and homoscedasticity of stock market returns: the case of Malaysian and some major stock markets

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