Bayan Analytics


 

 

West Texas Intermediate (WTI) Crude Oil price started plummeting from a high of US$107.95 in June 20, 2014 to a low of US$31.42 in Jan 11, 2016. This prompted writing this post in which I explore the correlation between the prices of crude oil and GCC Banks and Financial Services.

banks companies correlation coupled crude crude oil financial financial services GCC gcc banks jan 11 june 20 oil post services

 

World markets have been extremely volatile recently. TASI changed -12.68% in 1-month, -25% in 3-months and -31.73% in 12-months.

>tasi changed compare extreme outliers GCC index interquartile iqr markets month returns stock tasi

 

Is the Density of TASI Unimodal? [0.05]

Posted on Jan. 15, 2016, 12:34 p.m. by Bayan Analytics @ [source]

I established in my previous posts that the normality assumption for the log returns of TASI index and its sectors is false. In this post, I’ll use the Normal probability plot to investigate the distributions of the data.

convexity data density left log returns normal normality shows studying tasi index unimodal

 

TASI Sectors Density Estimation [0.10]

Posted on Jan. 14, 2016, 1:20 a.m. by Bayan Analytics @ [source]

Why Normality Assumption, I estimate the density of all TASI sectors’ log returns using the histogram and the kernel density estimation (KDE) then compare with the normal density.The figures below are from the period starting from 7-Jan-2007 to 31-Dec-2015.

Notice that the highest density of returns is in the middle of each plot causing the high kurtosis.

closely comparison density insurance kde normal resembles reveals tasi

 

Why Normality Assumption [0.08]

Posted on Jan. 5, 2016, 1:19 a.m. by Bayan Analytics @ [source]

But why then assume normality? Because estimation of the probability density function (PDF) for TASI log return suggests that TASI’s PDF is a normal density.

data density financial histogram kde log normal normal density pdf returns tasi tasi log

 

TASI Sectors’ Normality Assumption [-0.02]

Posted on Jan. 2, 2016, 5:44 a.m. by Bayan Analytics @ [source]

As observed in the previous post, the normality assumption in TASI index is not valid. In this post, I’ll explore the normality assumption in all the sectors in Saudi stock market.

bound box confidence data iqr lower lower bound normality percentile post skewness whiskers

 

TASI’s Normality Assumption [0.03]

Posted on Dec. 30, 2015, 12:58 a.m. by Bayan Analytics @ [source]

Mainly, I attempt to answer the question, “Is it valid to assume that Tadawul shows characteristics of normality in its returns?” The short answer is a resounding NO.

Normality assumption is a choice made by financial analysts and risk managers to simplify their understanding of the financial markets.

continue excess financial kurtosis markets post rarely reading skewness

 

TASI sectors correlation [0.05]

Posted on Dec. 27, 2015, 4:46 p.m. by Bayan Analytics @ [source]

In this post, I explore the correlations between the different sectors in the Saudi stock market, TASI.

First, some explanation about the above correlation matrix is in order.

abbreviated correlation data Dec jan log post readability returns weak

 

Introduction [0.09]

Posted on Dec. 24, 2015, 5 a.m. by Bayan Analytics @ [source]

My name is Thamir K. AlHashemi. I am using R for computations and graphics.

advanced Bayesian computations copulas cover graphics multivariate planning quant topics