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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universiti Kebangsaan Malaysia
2009
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| Online Access: | http://journalarticle.ukm.my/18/ http://journalarticle.ukm.my/18/1/ |
| _version_ | 1848809121302708224 |
|---|---|
| author | Chin, Wen Cheong Zaidi Isa, |
| author_facet | Chin, Wen Cheong Zaidi Isa, |
| author_sort | Chin, Wen Cheong |
| building | UKM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-14T23:09:34Z |
| format | Article |
| id | ukm-18 |
| institution | Universiti Kebangasaan Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T23:09:34Z |
| publishDate | 2009 |
| publisher | Universiti Kebangsaan Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | ukm-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 |
| spellingShingle | Chin, Wen Cheong Zaidi Isa, Structural break unit-root: an empirical study of Malaysian equity markets |
| title | 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_short | Structural break unit-root: an empirical study of Malaysian equity markets |
| title_sort | structural break unit-root: an empirical study of malaysian equity markets |
| url | http://journalarticle.ukm.my/18/ http://journalarticle.ukm.my/18/ http://journalarticle.ukm.my/18/1/ |