15.8 The Results


15.8.1 Equities

              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


15.8.2 Exchange

              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    -    0.43
Recent 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.