Testing for Seasonal Integration and Cointegration: An Expository Note with
Empirical Application to KLSE Stock Price Data

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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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Bibliographic Details
Main Author:	Habibullah, Muzafar Shah
Format:	Article
Language:	English English
Published:	Universiti Putra Malaysia Press 1998
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

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