Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/40031
Title: การประมาณการค่าสุดโต่งแบบคู่ของราคาหลักทรัพย์กลุ่มธนาคารในตลาดหลักทรัพย์แห่งประเทศไทย
Other Titles: Estimating Bivariate Extreme Value in the Price of Stocks in Banking Sector in the Stock Exchange of Thailand
Authors: รศ.ดร.ประเสริฐ ไชยทิพย์
อ.ดร.ชูเกียรติ ชัยบุญศรี
ดาราวรรณ คำมาก
Publisher: เชียงใหม่ : บัณฑิตวิทยาลัย มหาวิทยาลัยเชียงใหม่
Abstract: The research was conducted to test dependence-function estimation for bivariate extreme-value distributions in Banking Sector between Stock Prices of Bangkok Bank(BBL) and Index of the Stock Exchange of Thailand (SET) together with Stock Prices of Kasikorn Bank(KBANK) and Index of SET. The objective aims to investigate the unique condition based on dependence-function estimation. Bivariate Generalized Extreme Value distribution (BGEV) and Bivariate Generalized Pareto Distribution (BGPD) were utilized. The performances of BBL and KBANK have ranked the big market capitalizations of Banking Sector of SET. The earnings of those two banks were a great extent. Eighteen models of BGEV and BGPD of dependence-function estimation for bivariate extreme-value distributions were tested. The BGEV results indicated that a model number 8 was the best explanation for dependence-bivariate extreme-value distributions of BBL Stock Prices and SET and that a model number 6,9 was the best explanation for dependence-bivariate extreme-value distributions of KBANK Stock Prices and SET. The BGPD test results indicated that a model number 7 was the best explanation for dependence-bivariate extreme-value distributions of BBL Stock Prices and SET and that a model number 1 was the best explanation for dependence-bivariate extreme-value distributions of KBANK Stock Prices and SET. By testing BGEV and BGPD the empirical results showed that Bangkok Bank (BBL) indicated perfect form of extremely relation with SET and Kasikorn Bank(KBANK) indicated a better perfect form of extremely relation with SET.
URI: http://cmuir.cmu.ac.th/jspui/handle/6653943832/40031
Appears in Collections:ECON: Independent Study (IS)

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APPENDIX.pdfAPPENDIX386.03 kBAdobe PDFView/Open    Request a copy
CHAPTER 1.pdfCHAPTER 1314.13 kBAdobe PDFView/Open    Request a copy
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CHAPTER 5.pdfCHAPTER 5231.76 kBAdobe PDFView/Open    Request a copy
CONTENT.pdfCONTENT221.18 kBAdobe PDFView/Open    Request a copy
COVER.pdfCOVER607.52 kBAdobe PDFView/Open    Request a copy
REFERENCE.pdfREFERENCE264.99 kBAdobe PDFView/Open    Request a copy


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