Estimating Bivariate Extreme Value in the Price of Stocks in Banking Sector in the Stock Exchange of Thailand

Abstract

The objectives of the research entitled “Estimating Bivariate Extreme Value in the Price of Stocks in Banking Sector in the Stock Exchange of Thailand” were to examine the conditions of the extreme maximum returns of the Banking sector with the Stock Exchange of Thailand and to estimate and analyze the relation of Bivariate Generalized Extreme Value distribution (BGEV) and Bivariate Generalized Pareto Distribution (BGPD).  These 9 models of research were tested by Reversion 2.15.2 Program and the results of research as follows. 1. A study of the conditions of banking groups in stock exchange of Thailand found that Kasikornthai Bank (KBANK) had the most trading and followed by Bangkok Bank (BBL) and from analysis and trends of the two banks, they were appropriate to invest. And from the test of  Yorkshire with the Augmented Dickey - Fuller test (ADF-test) showed that the SET Index of Thailand (SET), data of Bangkok Bank (BBL) and Kasikornthai Bank (KBANK) had no unit root or stationary with statistical significance level of 0.01. 2 Estimating and analysis of the relationship between the banking stock prices and price indices, using Bivariate Extreme Value on the Stock Exchange of Thailand found that: 2.1) Estimation of a Bivariate Generalized Extreme Value Distribution (BGEV) with  Bivaritate Block Maxima Method found that models 6, 7 and 9 Bangkok Bank (BBL) and Kasikornthai Bank (KBANK) were correlated or depended on the Stock Exchange of Thailand Index (SET) with extreme model.  2.2) Estimation of  a Bivariate Generalized Pareto Distribution (BGPD) with Bivariate Threshold Exceedances found that Model 7 showing that The Stock Exchange of Thailand Index (SET) and the stock price of Bangkok Bank (BBL) were correlated or depended on each other completely and Model 1 showing that The Stock Exchange of Thailand Index (SET) and the stock price Kasikornthai Bank (KBANK) were correlated or depended on each other completely. It can be seen that the value r = 0.6006 showing the relationship between the extreme model.  In conclusion, estimation and analysis of stock prices of banks with SET using value-extreme (Bivariate Extreme Value) reflected that if the forecast of the price index is higher,  the price of stocks of  BBL and KBANK will be higher so investors should invest in order to get higher returns in the future.