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
Diserahkan: 17 Oktober 2008 /
Diterima: 6 Mac 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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*Pengarang untuk surat-menyurat; email: wcchin@mmu.edu.my
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