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

Chin Wen Cheong, Zaidi Isa

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)699-705
Number of pages7
JournalSains Malaysiana
Volume38
Issue number5
Publication statusPublished - Oct 2009

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Unit root tests
Structural breaks
Empirical study
Equity markets
Asian financial crisis
Structural change
Inclusion
Deviation
Reversal
Augmented Dickey-Fuller test
Equity
Unit root

Keywords

  • Random walk hypothesis
  • Sequences-reversals test
  • Structural change

ASJC Scopus subject areas

  • General

Cite this

Structural break unit-root tests : An empirical study of Malaysian equity markets. / Cheong, Chin Wen; Isa, Zaidi.

In: Sains Malaysiana, Vol. 38, No. 5, 10.2009, p. 699-705.

Research output: Contribution to journalArticle

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