DBS50 HSI KLCI NKY PCOMP JCI KOPSI SET TWSE INDU lo statistics Q = 5 1.28 1.12 1.65 2.16 1.4 1.62 2.15 1.85 1.56 1.26 Q =10 1.25 1.1 1.63 2.17 1.36 1.62 2.18 1.77 1.69 1.29 Q =25 1.16 1.07 1.53 2.1 1.23 1.5 2.02 1.63 1.71 1.31 Q =50 1.08 1.09 1.4 2.04 1.17 1.42 1.89 1.59 1.69 1.29 KPSS statistics Order = 1 0.16 0.05 0.29 1.33 0.29 0.3 0.81 0.87 0.03 0.14 Order = 2 0.12 0.04 0.23 1.46 0.2 0.18 0.7 0.58 0.11 0.15 Order = 3 0.1 0.04 0.2 1.36 0.16 0.15 0.59 0.48 0.11 0.15 V/S statistics Constant Order = 1 0.06 0.05 0.09 0.14 0.07 0.26 0.09 0.06 0.01 0.03 Order = 2 0.04 0.04 0.07 0.16 0.05 0.16 0.08 0.04 0.06 0.03 Order = 3 0.04 0.04 0.06 0.16 0.04 0.13 0.07 0.03 0.06 0.03 Trend Order = 1 0.05 0.05 0.08 0.3 0.08 0.28 0.26 0.18 0.01 0.06 Order = 2 0.03 0.04 0.06 0.33 0.06 0.17 0.23 0.18 0.06 0.06 Order = 3 0.03 0.04 0.05 0.31 0.04 0.14 0.19 0.18 0.06 0.07 Bandwidth 630 916 767 874 313 326 490 330 697 1190 lobrob Test -3.16 -1.24 -1.61 0.27 -2.9 -1.43 -4.58 -3.47 0.82 1.95 d: gph -0.09 -0.12 0.07 0.12 -0.03 0.08 0.05 0.02 0.07 -0.06 Bandwidth 1185 1174 1352 946 747 946 1025 700 1713 1522 d: lmrob 0.05 0.04 0.04 -0.01 0.04 0.12 -0.005 0.1 -0.11 -0.03 Bandwidth 593 587 676 473 374 473 512 350 857 761 d: lmrob 0.09 0.04 0.05 0.01 0.04 0.01 0.08 0.1 -0.02 -0.02 Bandwidth 296 293 338 237 187 237 256 175 428 381 d: lmrob 0.06 -0.03 0.08 0.07 0.16 0.07 0.11 0.09 0.06 -0.006 Bandwidth 1185 1174 1352 946 747 946 1025 700 1713 1522 d: robwhittle 0.01 0.02 0.01 -0.03 0.05 0.18 -0.1 0.07 -0.26 -0.03 Bandwidth 593 587 676 473 374 473 512 350 857 761 d: robwhittle 0.09 0.09 0.04 -0.04 -0.012 -0.05 0.07 0.09 -0.1 -0.04 Bandwidth 296 293 338 237 187 237 256 175 428 381 d: robwhittle 0.06 -0.01 0.04 0.12 0.16 0.03 0.08 0.12 0.08 -0.03 Hurst 0.35 0.35 0.34 0.3 0.25 0.42 0.16 0.27 0.53 0.34
SGD HKD MYR YEN PHP IDR KRW THB TWD lo statistics Q = 5 1.72 2.48 1.53 1.42 1.43 1.85 1.88 2.03 2.48 Q =10 1.74 2.37 1.63 1.38 1.57 1.73 1.89 1.99 2.34 Q =25 1.63 2.27 1.56 1.28 1.53 1.63 1.63 1.8 2 Q =50 1.6 2.3 1.46 1.23 1.45 1.49 1.49 1.67 1.87 KPSS statistics Order = 1 0.19 0.9 0.23 0.12 0.17 0.34 0.15 0.11 1.71 Order = 2 0.22 1.04 0.26 0.1 0.27 0.27 0.19 0.12 1.42 Order = 3 0.19 0.98 0.22 0.08 0.26 0.23 0.13 0.09 1.05 V/S statistics Constant Order = 1 0.18 0.17 0.08 0.09 0.04 0.1 0.09 0.09 0.16 Order = 2 0.21 0.2 0.09 0.07 0.07 0.08 0.11 0.1 0.14 Order = 3 0.18 0.2 0.07 0.06 0.07 0.07 0.08 0.07 0.11 Trend Order = 1 0.18 0.23 0.08 0.09 0.084 0.18 0.1 0.09 0.61 Order = 2 0.21 0.27 0.09 0.08 0.133 0.14 0.13 0.1 0.5 Order = 3 0.18 0.25 0.07 0.06 0.132 0.12 0.09 0.08 0.37 Bandwidth 884 635 1281 1278 347 397 427 869 840 lobrob Test -0.71 -3.75 0.93 -3.26 2.73 -1.53 -12.16 -3.97 -8.55 d: gph -0.07 0.09 0.1 0.05 0.23 0.3 -0.08 0.01 0.04 Bandwidth 1135 1135 1526 1523 455 456 1111 1142 900 d: lmrob 0.01 0.12 -0.005 0.04 -0.07 0.04 -0.11 0.05 0.09 Bandwidth 567 568 763 761 227 228 556 571 450 d: lmrob 0.04 0.07 -0.04 0.06 -0.07 0.1 0.18 0.08 0.12 Bandwidth 284 284 381 381 114 114 278 286 225 d: lmrob 0.09 0.03 0.12 0.1 0.09 0.11 0.34 0.11 0.15 Bandwidth 1135 1135 1526 1523 455 456 1111 1142 900 d: robwhittle -0.02 0.12 0.04 0.01 -0.07 -0.006 -0.48 0.03 0.07 Bandwidth 567 568 763 761 227 228 556 571 450 d: robwhittle 0.02 0.11 -0.23 0.04 -0.27 0.11 0.17 0.1 0.09 Bandwidth 284 284 381 381 114 114 278 286 225 d: robwhittle 0.11 0.03 0.07 0.11 0.1 0.029 0.3 0.14 0.15 Hurst 0.25 0.38 0.46 0.26 0.3 0.33 0.51 - 0.43Recent studies suggest that long-memory is present in absolute returns and square of returns. We have not reported the results for absolute and squared returns. The results here seem to suggest that some returns series exhibit long-memory characteristics. The returns calculated from the indices Nikkei, KOSPI, and SET exhibit persistence characteristics according to the first three tests. The nonparametric test lobrob seems to suggest that DBS50, JCI, KOSPI, SET and INDU also possess long-memory.
For the exchange rates, it is not surprising that most exchange rates exhibit persistence
as most countries manage their currencies either in the form of managed float,
pegging or some form of capital control. What is surprising though,
is the non-detection of persistence in MYR and IDR, which was expected to
exhibit persistence. The deliberate intervention in the market and managed
depreciation over the years, especially for Ruppiah, did not show up as persistence
in the series.