PEMODELAN DISTRIBUSI TINGKAT IMBAL HASIL INDEKS HARGA DI TUJUH BURSA ASIA
ABSTRACT: This paper
examines the return
distributions of 7
markets in the
Asian region, namely Hongkong, Indonesia, Malaysia, Korea,
Japan, Shanghai, and Singapore, to find out whether the return
distributions in those
markets follow a
specific distribution. Using
data from January 2000 to
September 2009, the return distributions of each market were constructed and
was first fitted to the normal distribution to find out whether or not each
market behaves according to the standard theory of finance and investment –
which stated that the financial time series follow a random walk – and thus
would fit the normal distribution. The result of fitting the return
distributions of the 7 markets to normal distribution shows that none of the return
distributions follows the normal distribution as evident from the leptokurtic phenomena marked
by the excess
kurtosis compared to
the normal distribution
curve and also from the fatter than normal distribution tails and the
existence of returns that lie outside
the area predictedby
the normal distribution.The return
distributions were then fitted to a series of theoretical
probability distribution. Each of the distribution was fitted to the
theoretical. The results are: the Hongkong and Shanghai markets follow the
Laplace distribution while the other five markets: Indonesia, Malaysia, Korea,
Japan, and Singapore follow the Johnson SU distribution.
Penulis: Brady Rikumahu
Kode Jurnal: jpmanajemendd140808
