Testing for Seasonal Integration and Cointegration: An Expository Note with Empirical Application to KLSE Stock Price Data
The purpose of this paper is to investigate the seasonal properties of the sectoral stock price series at the Kuala Lumpur Stock Exchange (KLSE) for the period 1978:1 to 1992:3. Our results suggest that the stock price indices at the KLSE exhibit seasonal unit roots, not only at the zero frequency...
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| Format: | Article |
| Language: | English English |
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Universiti Putra Malaysia Press
1998
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| Online Access: | http://psasir.upm.edu.my/id/eprint/3211/ http://psasir.upm.edu.my/id/eprint/3211/1/Testing_for_Seasonal_Integration_and_Cointegration.pdf |
| _version_ | 1848839466690543616 |
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| author | Habibullah, Muzafar Shah |
| author_facet | Habibullah, Muzafar Shah |
| author_sort | Habibullah, Muzafar Shah |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The purpose of this paper is to investigate the seasonal properties of the sectoral stock price series
at the Kuala Lumpur Stock Exchange (KLSE) for the period 1978:1 to 1992:3. Our results suggest
that the stock price indices at the KLSE exhibit seasonal unit roots, not only at the zero frequency,
but in most cases at the biannual frequency. The finding that stock price indices exhibit seasonal
integration has important implications for seasonal cointegration. However, our seasonal
cointegration test results suggest that sectoral stock price indices at the KLSE are not seasonally
cointegrated. These results imply that the informationally efficient stock market hypothesis
cannot be rejected for the KLSE. |
| first_indexed | 2025-11-15T07:11:54Z |
| format | Article |
| id | upm-3211 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English English |
| last_indexed | 2025-11-15T07:11:54Z |
| publishDate | 1998 |
| publisher | Universiti Putra Malaysia Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-32112013-05-27T07:06:29Z http://psasir.upm.edu.my/id/eprint/3211/ Testing for Seasonal Integration and Cointegration: An Expository Note with Empirical Application to KLSE Stock Price Data Habibullah, Muzafar Shah The purpose of this paper is to investigate the seasonal properties of the sectoral stock price series at the Kuala Lumpur Stock Exchange (KLSE) for the period 1978:1 to 1992:3. Our results suggest that the stock price indices at the KLSE exhibit seasonal unit roots, not only at the zero frequency, but in most cases at the biannual frequency. The finding that stock price indices exhibit seasonal integration has important implications for seasonal cointegration. However, our seasonal cointegration test results suggest that sectoral stock price indices at the KLSE are not seasonally cointegrated. These results imply that the informationally efficient stock market hypothesis cannot be rejected for the KLSE. Universiti Putra Malaysia Press 1998 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/3211/1/Testing_for_Seasonal_Integration_and_Cointegration.pdf Habibullah, Muzafar Shah (1998) Testing for Seasonal Integration and Cointegration: An Expository Note with Empirical Application to KLSE Stock Price Data. Pertanika Journal of Social Sciences & Humanities, 6 (2). pp. 113-123. ISSN 0128-7702 English |
| spellingShingle | Habibullah, Muzafar Shah Testing for Seasonal Integration and Cointegration: An Expository Note with Empirical Application to KLSE Stock Price Data |
| title | Testing for Seasonal Integration and Cointegration: An Expository Note with
Empirical Application to KLSE Stock Price Data |
| title_full | Testing for Seasonal Integration and Cointegration: An Expository Note with
Empirical Application to KLSE Stock Price Data |
| title_fullStr | Testing for Seasonal Integration and Cointegration: An Expository Note with
Empirical Application to KLSE Stock Price Data |
| title_full_unstemmed | Testing for Seasonal Integration and Cointegration: An Expository Note with
Empirical Application to KLSE Stock Price Data |
| title_short | Testing for Seasonal Integration and Cointegration: An Expository Note with
Empirical Application to KLSE Stock Price Data |
| title_sort | testing for seasonal integration and cointegration: an expository note with
empirical application to klse stock price data |
| url | http://psasir.upm.edu.my/id/eprint/3211/ http://psasir.upm.edu.my/id/eprint/3211/1/Testing_for_Seasonal_Integration_and_Cointegration.pdf |