Monte Carlo Simulation for Data Volatility Analysis of Stock Prices in Islamic Finance for Malaysia Composite Index
Journal: International Journal of Advanced Engineering Research and Science (Vol.6, No. 3)Publication Date: 2019-03-10
Authors : Nashirah Abu Bakar Sofian Rosbi;
Page : 6-12
Keywords : Monte Carlo Simulation; Malaysia Stock Exchange; Volatility; Islamic Finance.;
Abstract
The objective of this study is to evaluate the volatility rate of sharia-company in Malaysia Stock Exchange using Monte Carlo Simulation (MCS). This study collected daily stock price form Thomson Reuters Datastream for calculating monthly return and volatility rate. In validating the findings of volatility rate, this study performed normality diagnostics test, and Monte Carlo Simulation (MCS). Result indicates the distribution of volatility rate is follows normal distribution. In addition, Monte Carlo Simulation also proved the volatility rate is 4.85% and standard deviation is 2.23. Result of process capability shows the value of volatility rate is under statistical control with implementation on Monte Carlo Simulation. The significant of this study is it provides a better understanding for investors regarding the financial environment in Malaysia Stock Exchange. This information will help investors to make proper selection of their investment portfolio.
Other Latest Articles
- Production of Dissertations and Theses on Mobile Learning in Brazilian Postgraduate Courses
- Analysis of Properties of Intra-Layer Jute–Polyester–Glass Fibre Reinforced Composite: A review paper
- Heritability and heterosis of agronomical characteristics, yield and yield components of sweet and super sweet corn (Zea mays L.) genotypes
- COMPARISON OF DATA MINING TECHNIQUES FOR PREDICTING DIABETES OR PREDIABETES BY RISK FACTORS
- Hybrid Datamining Approaches to Predict Success of Bank Telemarketing
Last modified: 2019-03-12 19:02:04