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Exploring Robust Methods for Testing Equality of Stock Price Variances

Adeleke, Ismail and Oladeji, Tolulope and Adesina, Olumide S (2018) Exploring Robust Methods for Testing Equality of Stock Price Variances. International Journal of Statistics and Economics;, 19. pp. 65-74. ISSN 0975-556X

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Assessment and test of equality of volatilities of stocks with similar returns is important for decision makers in their portfolio selection. Volatility estimation is equally important for pricing stocks and derivative securities. In this study, three robust tests for homogeneity of variance are considered in the selection of stocks under the conditions of high kurtosis and large skewness. Investigations involved the effectiveness of the Ballett’s test, robust methods of Levene's Test and Fligner-Killeen test in the test of homogeneity of variance of stocks. Simulated and insurance stock data were employed and empirical results findings show that the three test statistics are equally efficient in testing homogeneity of variance even as the datasets deviates from normality.

Item Type: Article
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HG Finance
H Social Sciences > HJ Public Finance
Divisions: Faculty of Law, Arts and Social Sciences > School of Social Sciences
Depositing User: Dr. Tolulope Adesina (Oladeji)
Date Deposited: 18 May 2021 13:07
Last Modified: 18 May 2021 13:07

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