The Study of Stock Price Return of Petroleum and Other Liquids Using Extreme Value Theory Based Decision on Belief Function TheoryDFaculty of Economics, Chiang Mai University, Chiang Mai, Thailand

摘要

The aims of this study is to provide extreme value forecasting methods to predict the maximum return of IRPC's stock price and maximum return of SUSCO's stock price. The data was used for prediction is the time series data during period of 2004-2014 (daily data) for prediction. Moreover, the belief function theory was applied to evaluate the maximum return of their stocks price. Based on extreme value forecasting methods (EVT-GEV based and EVT-GPD based) were summarized that all of companies will be received the maximum return of their stocks price in positive way for future. However, based on belief function theory give more information that maximum return of IRPC (Integrated Refinery & Petrochemical Complex) is not similarly with the maximum return of SUSCO (Siam United Service Public Company Limited: SUSCO Limited Company). If these results are generalized for upcoming years, it is suggested that both the stock exchange of Thailand and investor should prepare to receive increasing stock price of these energy companies group.