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Structural break unit-root: an empirical study of Malaysian equity markets

This research investigated the unit-root tests using nonparametric sequences-reversals (S-R), Phillip-Perron (PP) tests and parametric Augmented Dickey-Fuller (ADF) test for the Malaysian equity indices. Under the considerations of drift and structural break, it was found that during the restructuri...

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Main Authors: Chin, Wen Cheong, Zaidi Isa,
Format: Article
Language:English
Published: Universiti Kebangsaan Malaysia 2009
Online Access:http://journalarticle.ukm.my/18/1/
http://journalarticle.ukm.my/18/
http://www.ukm.my/~jsm/kandungan.html
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spelling my-ukm.journal.182016-12-14T06:26:11Z http://journalarticle.ukm.my/18/ Structural break unit-root: an empirical study of Malaysian equity markets Chin, Wen Cheong Zaidi Isa, This research investigated the unit-root tests using nonparametric sequences-reversals (S-R), Phillip-Perron (PP) tests and parametric Augmented Dickey-Fuller (ADF) test for the Malaysian equity indices. Under the considerations of drift and structural break, it was found that during the restructuring period after the Asian financial crisis, most of the indices provided evidences against the unit-root tests. These results are somewhat contrasted with the conventional unit-root tests that ignored the impact of structural changes. In addition, the S-R tests were found to have little power to identify the deviations from the unit-root even after the inclusion of structural break. Universiti Kebangsaan Malaysia 2009-10 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/18/1/ Chin, Wen Cheong and Zaidi Isa, (2009) Structural break unit-root: an empirical study of Malaysian equity markets. Sains Malaysiana, 38 (5). pp. 699-705. ISSN 0126-6039 http://www.ukm.my/~jsm/kandungan.html
institution Universiti Kebangsaan Malaysia
building Perpustakaan Tun Sri Lanang Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Kebangsaan Malaysia
content_source UKM Journal Article Repository
url_provider http://journalarticle.ukm.my/
language English
description This research investigated the unit-root tests using nonparametric sequences-reversals (S-R), Phillip-Perron (PP) tests and parametric Augmented Dickey-Fuller (ADF) test for the Malaysian equity indices. Under the considerations of drift and structural break, it was found that during the restructuring period after the Asian financial crisis, most of the indices provided evidences against the unit-root tests. These results are somewhat contrasted with the conventional unit-root tests that ignored the impact of structural changes. In addition, the S-R tests were found to have little power to identify the deviations from the unit-root even after the inclusion of structural break.
format Article
author Chin, Wen Cheong
Zaidi Isa,
spellingShingle Chin, Wen Cheong
Zaidi Isa,
Structural break unit-root: an empirical study of Malaysian equity markets
author_facet Chin, Wen Cheong
Zaidi Isa,
author_sort Chin, Wen Cheong
title Structural break unit-root: an empirical study of Malaysian equity markets
title_short Structural break unit-root: an empirical study of Malaysian equity markets
title_full Structural break unit-root: an empirical study of Malaysian equity markets
title_fullStr Structural break unit-root: an empirical study of Malaysian equity markets
title_full_unstemmed Structural break unit-root: an empirical study of Malaysian equity markets
title_sort structural break unit-root: an empirical study of malaysian equity markets
publisher Universiti Kebangsaan Malaysia
publishDate 2009
url http://journalarticle.ukm.my/18/1/
http://journalarticle.ukm.my/18/
http://www.ukm.my/~jsm/kandungan.html
_version_ 1643734591835471872
score 13.211869

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