Sains Malaysiana 38(5)(2009): 699–705

Structural Break Unit-root Tests: An Empirical Study of

Malaysian Equity Markets

(Ujian Perubahan Struktur Punca Unit: Satu Kajian Empirik di Pasaran Ekuiti Malaysia)

Chin Wen Cheong*

Research Centre of Mathematical Science

Multimedia University 63100 Cyberjaya, Selangor, Malaysia

Zaidi Isa

Faculty of Science and Technology, Universiti Kebangsaan Malaysia

43600 Bangi, Selangor, Malaysia

Received: 17 October 2008 / Accepted: 6 March 2009

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.

Keywords: Random walk hypothesis; sequences-reversals test; structural change

ABSTRAK

Kajian ini menyelidik ujian punca unit dengan menggunakan ujian rentetan pembalikan (S-R) tak berparameter, ujian Phillip-Perron (PP) dan ujian Dickey-Fuller (ADF) terimbuh terhadap ekuiti indek Malaysia. Di bawah pertimbangan hanyutan dan perubahan struktur, adalah didapati semasa tempoh penstrukturan selepas krisis kewangan Asia, majoriti indeks didapati bercanggah terhadap ujian punca unit. Keputusan ini adalah bertentangan dengan ujian punca unit konvensional dengan impak perubahan struktur adalah diabaikan. Tambahan pula, ujian S-R mempunyai kuasa yang kecil untuk mengenal pasti persisihan daripada punca unit setelah perangkuman perubahan struktur.

Kata kunci: Hipotesis gerakan rawak; perubahan struktur; ujian rentetan pembalikan

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*Corresponding author; email: wcchin@mmu.edu.my