Abstract
The present study adopts the framework of Lim et al. (Citation2006) who conjectured that the existence of nonlinear serial dependencies is due to shocks that unsettled the market and caused large deviations from equilibrium. Specifically, this article extends the investigation to shed further light on whether different economic sectors of the Malaysian stock market are subjected to the same shocks effects. The results reveal that the Russian crisis, negative economic outlook, unorthodox capital control measures, increased political tension, uncertainty over Central Limit Order Book issue, and the imposition of repatriation levy, have sent shock waves throughout the domestic stock market.
Acknowledgement
The author would like to thank Universiti Malaysia Sabah for giving him a scholarship to pursue his PhD study in Monash University.
Notes
1 The full theoretical derivation and some Monte Carlo evidence on the small sample properties of the test statistic are given in Hinich (Citation1996) and Hinich and Patterson (Citation1995, Citation2005).
2 The Malaysian stock market, formerly known as Kuala Lumpur Stock Exchange (KLSE) was officially renamed as Bursa Malaysia on 20 April 2004, and there is no abbreviation or translation for its usage since it is a brand name for the exchange.
3 The H-statistic for each window was computed using the T23 FORTRAN program written by Melvin J. Hinich. The program is downloadable from http://www.gov.utexas.edu/hinich/