Table 8: Sequential sample segmentation approach of the Kokoszka and Leipus (2000) test for
detecting multiple breaks in stock market returns
|
SMI |
Process Subsamples |
Kokoszka and Leipus Test | ||
|
Observ. |
k Date |
max. UT(k ŋ Number σHAC of Breaks | ||
|
FTSE |
|rt| 1-3338 |
2197 |
5/6/97 |
5.861* 4 |
|
1-2197 |
1021 |
2/12/92 |
3.508* | |
|
2198-3338 |
2497 |
30/7/98 |
1.366* | |
|
1021-2197 |
1631 |
5/4/95 |
2.041* | |
|
( rt )2 1-3338 |
2239 |
4/8/97 |
5.265* 4 | |
|
1-2239 |
991 |
21/10/92 |
2.744* | |
|
992-2239 |
1556 |
21/12/94 |
1.734* | |
|
992-1556 |
1279 |
29/11/93 |
2.507* | |
|
HSI |
|rt| 1-3338 |
2247 |
18/8/97 |
4.619* 6 |
|
1-2247 |
1630 |
4/4/95 |
1.815* | |
|
2248-3338 |
2554 |
19/10/98 |
2.818* | |
|
1-1630 |
1239 |
4/10/93 |
2.416* | |
|
1240-1630 |
1404 |
23/5/94 |
2.540* | |
|
1405-1630 |
1534 |
21/11/94 |
1.953* | |
|
( rt )2 1-3338 |
2249 |
18/8/97 |
2.181* 2 | |
|
2250-3338 |
2554 |
22/10/98 |
2.072* | |
|
NIKKEI |rt| |
1-3338 |
2237 |
31/7/97 |
3.091* 5 |
|
1-2237 |
966 |
16/9/92 |
2.476* | |
|
2238-3338 |
2792 |
16/9/99 |
2.161* | |
|
1-966 |
293 |
16/2/90 |
3.119* | |
|
2238-2792 |
2365 |
27/1/98 |
1.716* | |
|
( rt ) |
2 1-3338 |
2295 |
21/10/97 |
1.972* 4 |
|
1-2295 |
966 |
16/9/92 |
2.470* | |
|
2296-3338 |
2861 |
22/12/99 |
1.757* | |
|
1-966 |
295 |
20/2/90 |
2.162* | |
|
S&P500 |rt| |
1-3338 |
2110 |
4/2/97 |
6.841* 4 |
|
1-2110 |
776 |
30/12/91 |
4.143* | |
|
2111-3338 |
2495 |
28/7/98 |
1.863* | |
|
780-2110 |
1776 |
25/10/95 |
2.130* | |
|
( rt ) |
2 1-3338 |
2146 |
26/3/97 |
4.888* 3 |
|
1-2146 |
779 |
31/12/91 |
3.159* | |
|
780-2146 |
1814 |
18/12/95 |
2.343* | |
Notes: The test is based on a sequential sample segmentation approach with a 1% significance level for each segment.
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