Microsoft Word - 14674-53142-1-SM-new R Receive doi:10.5 Abstra The ma monthly 1979, 1 unit roo estimate Fijian d Party w characte market returns Keywo prices, M Random School of ed: Jan. 5, 2 5296/ajfa.v ct ain goal of y data from 981) and Ph ot tests, this ed multiple dollar by 20 won by ma erized as a hypothesis based on hi rds: Weak Multiple Str m Walk Economics Tel: (67 2021 Ac 13i2.14672 f this paper m January 20 hillips-Perr s study find e structural b percent in ajority vote unit root ( holds in F istorical mo k-Form Effi ructural Bre Hypot J s, The Unive 79)-323-253 ccepted: No URL: ht r is to inve 000 to Octo on (1988), Z ds that stock break dates 2009 and G es. The em (random wa Fiji’s stock ovement of s icient Mark eaks, Fiji 79 thesis f Janesh Sam ersity of the 34 E-mai ov. 17, 2021 https://doi.or estigate the ober 2017. A Zivot-Andr k prices is s in the stoc General Elec mpirical res alk) process market. 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I implies time an (Naraya investor and Lee An eme few dec Ryaly, R 2007), and Tin together 2002, A hypothe The ma random sample literatur hypothe develop econom underta Market over the oduction pic of whet s is not new er stock pric ant implicat market cann of shocks t es made by 2015). k prices are nt market hy ang 2015). F would not b ition, if sto ty of stock ing investm n and S If stock pric any shock nd it would an and S rs to formu e 2010). erging body cades. Many Raju, and U Pakistan (H ng 2000). A r (Hamid et Araújo Lim esis is still m ain objective m walk hyp period Jan re in three m esis of stoc ping Asian mies like F aken signific capitalizati e recent ye ther stock p w and has b ces can be b tions for: (a not be pred to stock pr y investors best chara ypothesis h Furthermor e possible t ock prices markets ar ment decision myth 2007 ces are best k will have d be possib Smyth 2007 ulate trading y of empiric y studies ha Urlankula 20 Husain 1997 Another gro t al. 2010, N ma and Tab mixed. e of this pap othesis of nuary 2000 major ways k prices in and Afric Fiji that ha cant policy ion and num ears. Stable prices can been subjec best describ a) efficient m dicted from rices; (c) sto (Narayan cterized as holds (Naray e any shock to predict fu follow a ( re likely to n and tradin 7, Tiwari a t characteriz temporary ble to fore 7, Tiwari a g strategies cal studies h ave examine 017), China 7), Sri Lan up of studi Ngene, Tah ak 2004). per is to con stock price 0 to Octob s. First, we the develo an econom ave recentl reforms in t mber of trad macroecon 80 be describe ct of signif bed as a ran market hypo m previous p ock price f 2006, Lee a unit root yan 2006, k to stock pr uture return (unit root) o increase w ng strategie and Kyophi zed as mean impact and ecast stock and Kyophi to earn abn have investi ed the hypo a (Charles an nka (Abeyse es have stu h, and Darra However, t ntribute to t es in Fiji u ber 2017. T contribute t oping econo mies, there ly experien the stock m des in Fiji’s nomic and p Asian ed as a ran ficant debat ndom walk othesis – w price move forecasting; e, Lee, and (random w , Lee, Lee, rices are lik ns using hist random wa without bou es of invest ilavong 20 n reverting d series wil prices bas ilavong 20 normal retu gated the ra othesis for I nd Darné 20 ekera 2001) udied the hy at 2017, Ab the empiric the empirica using month This paper to the grow omies. Whil is little lit nced high market. s stock mar political clim n Journal of F ndom walk te over the or mean rev which sugges ements; (b) (d) investm Lee 2010, walk) proces and Lee 20 kely to have torical stock alk process und over th ors (Chaudh 14, Naraya (trend statio l return to ed on histo 14). Accord urns (Naray andom hypo ndia (Sharm 009, Balsara ), Taiwan ( ypothesis fo braham, Sey cal evidence al literature hly stock p contributes wing literatu le there has terature for economic ket has incr mate togeth Finance & Ac ISSN 19 2021, Vol. 1 ajfa.macro or mean r past few d verting pro sts that retu understand ment decisi Wang, Zha ss, then we 010, Wang, e a permane k prices mo s, this impl he long run dhuri and W an 2006, N onary) proc its trend pa orical stock dingly, this yan 2008, L othesis over ma and Kira a, Chen, an (Lock 2007 or several c yyed, and A e on rando and investi price data o s to the e ure on rando s several stu r small dev growth ra reased sign her with sup ccounting 946-052X 13, No. 2 think.org/ reverting decades. cess has urns of a ding the ions and ang, and eak-form , Zhang, nt effect ovement. lies that n – thus Wu 2003, Narayan cess, this ath over k prices s allows Lee, Lee, r the last an 2017, d Zheng , Chang countries Alsakran om walk igate the over the mpirical om walk udies on veloping ates and ificantly pportive fiscal p exchang develop dividen listing o deducti encoura South P random Our stu studies between market (Mala a importa provide scholars Second October domesti dollar in and ext price cr endogen externa to unde correct Third, f develop prices s test in s root tes Narayan (2010) u Therefo Fiji usin The res method remarks policy incen ge (South P p the stock m nds being ta on SPSE ; ( ons for lis age public Pacific Stoc m walk hypo udy builds o have exam n stock pric volatility ( and White 2 ance of law es evidence s and invest , this study r 2017. The ic events (s n 2009 and ternal event risis). This nously dete l shocks ide erstand how investment for the first ped by Nara series. Naray stimulation sts develop n and Popp unit root tes ore, our pap ng a new an st of the p dology. Sec s. ntives boos Pacific Stoc market in F ax-free for r (b) tax exem sting relate listing; (e) k Exchange othesis of sto on the scanty mined stock ces and ma Mala and R 2009), corp w for stock m on random tors. uses latest e major ben such as poli return to d ts (such as study uses ermine the b entified abo w future sho strategies a time in con ayan and P yan and Pop study. The ped by Lee p (2010). T st has a bett per offers ro nd relatively aper is stru ction 3 disc sted investo ck Exchange iji through residents, re mptions on ed cost; (d and increa e (SPSE) 20 ock prices u y empirical k price clus acroeconom Reddy 2007 orate gover market dev m walk hyp monthly st nefit of usin itical coup i democratic r Global fina s a battery break dates ove. Such in cks are like and develop ntext of Fiji Popp (2010) pp (2013) h ey investiga e and Stra The main fi ter size and obust eviden y robust uni uctured as cusses the 81 or confiden e (SPSE) 2 a range of t eduction of gains arisin d) commen ased investo 016, 2014). using month literature th stering (Na mic activitie 7), factors i rnance initi velopment ( pothesis for tock price d ng the lates in Decembe rule followi ancial crisi of unit roo and examin nformation i ely to impac pment polici ’s stock ma ) that allow have demon ated small s azicich (20 inding of th high power nce on the it root test. follows. Se results, wh Asian nce and fac 016). The g tax incentiv corporate t ng from res ncement of or awarenes In light of t hly data. hat exists on arayan an s (Puah an influencing atives (Red (Sharma a r Fiji and h data over the st data is ou er 2006, 20 ing General s 2007/200 ot tests allo ne if it is as is important ct Fiji’s sto ies. arket, this pa ws for multi nstrated the sample size 003), Lumsd heir study w r and identif unit root pr ection 2 di hile Section n Journal of F cilitated gr government es and mea tax rate of 1 structure du f National ss (Governm these reform n Fiji’s stoc nd Smyth 2 d Jayarama listing on t ddy and Sha and Nguyen has importa e large perio ur sample p 0 percent de Elections i 8 and 2007 owing for s ssociated wi t for investo ock market a aper uses a iple structu key advanta e and power daine and was that N fies break d roperties of iscusses the n 4 provid Finance & Ac ISSN 19 2021, Vol. 1 ajfa.macro rowth of th t has been t asures includ 10% for com ue to listing Listing Fo nment of Fij ms, we exam ck market. P 2013), rela an 2007) an the stock ex arma 2011) n 2011). Th ant implicat iod January period cover evaluation o in Septembe 7-2008 Wor structural b ith any dom ors and gov and aid in d novel unit ural breaks age of this u r properties Papell (19 Narayan and dates more c f the stock p e data sour des the con ccounting 946-052X 13, No. 2 think.org/ he stock trying to ding: (a) mpanies g; (c) tax orum to iji 2014, mine the Previous ationship nd stock xchange and the his paper tions for 2000 to rs major of Fijian er 2014) rld food reaks to mestic or vernment devising root test in stock unit root s of unit 97) and d Popp’s correctly. prices in rces and ncluding 2. Data This stu Internat analysis Dickey test (Ph well-kn for stru hypothe Followi properly unit roo Zivot an root tes root tes identify Unit Ro Next th employ Zivot-A to Mod the test prices i trend st We det (absolut below i noise. I differen The rem mean s where (1992) a a and Meth udy uses m tional Mon s by invest Fuller (AD hillips and P nown in the uctural brea esis. ing a semin y allow for ot hypothes nd Andrew st of Naraya sts identifie ying the imp oot test with he unit root yed to verify Andrews uni del A. Thus, allows for s an integra tationary wi  ty 0 termine the te value of including ∆𝑦 In equation nce operator maining var hift occurri 1tDU an and set the odology monthly dat netary Fund tigating the DF) test (Di Perron 1988 applied tim aks and thu nal paper b r structural sis. In light s (1992) tha an and Popp es structural pact of inter h a single str test with a y the order o it root test m we employ a change in ated process ith a structu   t Ty 1  break date the t-statisti 𝑦 to cor (1), 𝑦 den r, t ~ iid riables are d ing at time nd tDT t  ‘trimming r ta on stock d’s Internati e order of ickey and F 8). This stud me series lite us might lea y Perron (1 breaks can of this, the at allows fo p (2010) tha l break date rnal and ext ructural bre a single stru of integratio minimizes t y Model C v n both slope s without a s ural break in  tDUT 1 e by identif ic for π) is m rrect for ser notes log of d (0, σ2), t = defined as f e TB, while TB if t  region’ to: [ 82 k prices fro ional Finan integration Fuller 1981 dy does not erature. How ad us to in 1989), it ha n bias the un e present st or a single s at accounts es which ca ternal shock eak uctural brea on. Sen (20 the loss of p version of t e and interc structural b n the trend fu    k j tDT1 fying the va maximised. erial correla f stock pric 1…. n. follows: DU e tDT is th ;TB otherw [0.15, 0.85] Asian om January ncial Statist of stock p , 1979) and t provide de wever, these ncorrectly c as been wid nit root test tudy employ structural br for two stru an informat ks on the ser k developed 03) showe power and i the unit roo cept and has reak agains function that     jtj y 1  alue of TB We estima ation, and e ces and T is tU is an in he correspo wise 0. We . n Journal of F y 2000 – O tics. We be price series d Phillip-Pe etails of the e unit root t conclude on dely recogn t towards n ys unit root reak and ne uctural brea tive for app ries. d by Zivot- ed that Mod s relatively t test. The M s the null hy t the alterna t occurs at u t for which te the follow nsure that e s the time t ndicator dum onding trend e follow Zi Finance & Ac ISSN 19 2021, Vol. 1 ajfa.macro October 20 egin our em using Aug erron (PP) u ese tests as tests do not n the rando nized that fa non-rejectio t test devel ewly develo aks. Both th plied econo -Andrews ( del C versio y superior co Model C ve ypothesis th ative stock p unknown tim the ADF t- wing equati error term trend. ∆ is mmy variab ding shift v ivot and A ccounting 946-052X 13, No. 2 think.org/ 17 from mpirical gmented unit root they are account om walk ailure to n of the oped by ped unit hese unit mists in 1992) is on of the ompared ersion of hat stock prices is me. (1) -statistic ion as (1) is white the first ble for a variable, Andrews Unit Ro We nex by estim level, w Narayan has a b alternat Papell ( Model Model 2 The bre procedu Popp 20 stock p hypothe 3. Resu Unit Ro Table 1 it can b probabi are not trend. T hypothe express unit hy become stock pr I(1) var oot test with xt use Naray mating equa while Mode n and Popp etter size, h tive unit ro (1997). 1 2 t M2 t yy    1 1 *  eak dates i ure. Howev 010) and br prices and t esis of 𝜌 ults and Dis oot Test Res presents A be seen that ility values) significant Thus, in b esis is easil sed in the fir ypothesis is es stationary rice is best riable. h multiple st yan and Pop ations (2-3) el 2 allows p (2013) sho high power oot tests de tDU' t   1,1* **   in the stock ver, sequent reaks are no the unit roo 1. The t-sta scussion sults withou ADF and PP in the level ). A similar t. It is wort oth cases, ly rejected rst differenc rejected. T y after first characteriz tructural br pp (2010) un . We consid for two br owed that u and is able eveloped by t M1 t D yy    1 1   t B DU' TDt  1,22 1 ' 1 * )(   k prices ca ial procedu ot much dif ot null hypo atistic of ̂ t Structural P unit root te ls, the ADF observation th noting th the unit ro at 1 percen ce. In both c The stock differencing zed as a non 83 reaks unit root test der two cas reaks in the unit root test e to identify y Lee and t DDU t    21,1 11 ' *   t Bt DT' TD   ,11 ' 2,1 * )(   an be deter ure is less c fferent. In M othesis of is denoted l Breaks est results f F test statisti n can be ma hat the resu oot hypoth nt significa cases, the te price serie g. The res n-stationary Asian t that allows ses. Model e level and t developed y break date d Strazicich k j t B DU TDt      1 1,2 1 ' 1 ' )( t DT 21 ,2 * )  rmined usin computation Model 1 an 𝜌 1 are d by ̂t . for stock pri ics is not si ade regardin ults are not hesis is not ance level w est-statistics s contains sults from b y series. In n Journal of F s for multip 1 allows fo the slope. d by Naraya es more cor h (2003) an jtj Bt ey TD    ' 2,1 (   k j jtT'     1 1,2  ng grid sea nally deman d Model 2, tested aga ices for Fiji gnificant (a ng the PP te sensitive to rejected. when the st s are highly a unit root both unit roo other word Finance & Ac ISSN 19 2021, Vol. 1 ajfa.macro ple structura or two break In a recen an and Popp rrectly comp nd Lumsda t t e ,2) tjtj ey   arch and se nding (Nara , 𝑦 denote ainst the alt i. For the A as indicated est-statistics o inclusion However, tock price y significant t in the lev ot tests indic ds, stock pri ccounting 946-052X 13, No. 2 think.org/ al breaks ks in the nt study, p (2010) pared to aine and (2) (3) equential ayan and es log of ternative ADF test, by high s, which of time the unit series is t and the vels but cate that ice is an Table 1 Unit Ro Since th be misl single b and inte date an rejected howeve test-stat absolute Table 2   Varia In SPI Δ In S *** in Table 3 Variab In SPI Δ In S In SPI Δ In S . Unit Root       Variab   In SPIt    Variab   Δ In SP The re indica Eview oot Test Res he ADF and leading. To break using ercept. We nd optimal d in level a er, when th tistics of -15 e terms) at 2. Unit Root able  It  SPIt  ndicates statistic . Unit Root ble  It  SPIt  It  SPIt  t Test Resul le  0 (0 le  PIt  ‐13. (0 eported values ates statistical si ws program. sults with St d PP unit ro avoid this Zivot-Andr report thre lag length and the test he stock pr 5.004 is sta 1 percent si t Tests with cal significance t Tests with Model  Model 1 Model 1 Model 2 Model 2 lts ADF  C  .463  .985)  ADF  C  781***  .000)  ‐ are test-statisti ignificance at 1 tructural Br ot tests do n pitfall, we rews (1992 e important (k). It is c t-statistic is ice series i atistically sig ignificance l a Single Br Test‐ ‐2           ‐ at 1 percent lev Multiple St Test  1  ‐1 1          ‐ 2  ‐2 2          ‐ 84 In L C & T  0.036  (0.997)  In First‐ C & T  13.862***  (0.000)  ics. Figures in percent level. reaks not allow fo re-examine ) test. Mod t results in clear from s insignifica is expresse gnificant as level. reak Zivot‐Andr ‐statistics  2.759  ‐15.004***  vel. We imple tructural Br ‐statistic  1.900  ‐6.080***  2.925  ‐5.978***  Asian Levels  Phillip C  0.161  (0.970)  Difference  Phi C    ‐13.852** (0.000)  bracket are pr The unit root te or structural e the unit r del C consid Table 2, na Table 2 tha ant. The un d in the fi s it exceeds rew (1992)  emented the tes reaks Result TB1  Dec 200 May 201 Dec 200 May 201 n Journal of F ps‐Perron (PP C & ‐0.2 (0.9 llips‐Perron  C & **  ‐13.91 (0.0 robability value ests were condu l break, the root hypoth ders a chang amely the t at unit root nit root hyp rst differen the critical Unit‐Root T Break    date  2014:08  2014:12  st in RATs 9.0 s ts 09  De 10  Se 09  De 10  Se Finance & Ac ISSN 19 2021, Vol. 1 ajfa.macro P)  & T  237  992)  & T  18***  000)  es. *** ucted in results are hesis allowin ge in the bo test-statistic t hypothesi pothesis is r nce. The co value of -5 Test  k 0 0 software progra TB2  ec 2011  ept 2010  ec 2011  ept 2010  ccounting 946-052X 13, No. 2 think.org/ likely to ng for a oth slope cs, break is is not rejected, omputed 5.570 (in k  0  0  am. k  3  9  3  9  The re for M Naray The est that res boosted allowin test. Th unit roo Decemb an I(1) v 4. Conc The ma Fiji usin employ this pap implies run. In case of have pe Our fin affect s Fiji’s st One of can inv markets at an in macroe Referen Abeyse in Sri L Finance Abraham walk be Araújo hypothe Econom eported figures Model 2: 1 % (- an and Popp (2 timated brea ulted Fiji F d investor co ng for multi he results su ot hypothesi ber 2009 an variable eve cluding Rem ain goal of t ng monthly ying a batter per is that st that volatil addition, o f Fiji’s stock ermanent ef nding indica stock marke tock market the limitatio vestigate th s (such as th nfant stage. conomic va nces ekera, Sarath Lanka: Evi e & Accoun m, Abraham ehavior and Lima, Edu esis for equ mics Letters, are test-statistic -5.949); 5 % ( 2010) unit-root t ak dates are First Party w onfidence. T iple structur ummarized is is not rej nd Decembe en after allo marks this paper w y data from ry of unit ro tock prices lity of Fiji’s our finding k market. T ffects and st ates that de et in Fiji. M t cannot be p ons of this p he random he Papua N Future stu ariables in F h P. (2001) dence from nting, 28(1-2 m, Fazal J efficiency ardo Jose, & uity market , 11(4), 255 cs. The critical -5.181).The cri test was implem e 2014:08 a winning the Therefore, t ral breaks b in Table 3 ected for st er 2011. Th owing for m was to exam January 20 oot tests wi is best desc s stock mar suggests th The result al ock prices a evaluation More import predicted fr paper is tha walk hypo New Guinea udies can al Fiji. . Efficient m m the Colom 2), 249-261 Seyyed, & of the Gulf & Benjamin ts: evidence 5-258. 85 values for Mod itical values w mented in Gaus and 2014:12 majority o the stock pr by employi indicate tha tock prices hus, the unit multiple stru mine the ran 000 to Octo ith and with cribed as a n rket is likely hat weak-fo lso indicate are unlikely and politic tantly, the f rom historic at it has focu othesis/effic a (PNG)) in lso investig markets hyp mbo stock . Sulaiman stock mark n Miranda T e from Chi Asian del 1: 1 % (-5.2 was extracted fr s 15.0. 2 and is per f the votes. rices is an I( ing Narayan at regardles in levels. t root result uctural break ndom walk ober 2017. W hout structu non-stationa y to increas orm efficien es that shock y return to it al shock su finding sugg cal stock pri used on Fiji cient marke n the Pacific gate how st pothesis an exchange– A Alsakran kets. Financ Tabak. (200 ina, Hong K n Journal of F 259); 5 % (-4.51 rom Narayan a rhaps due to The return (1) variable n and Popp s of the mo The estima ts indicates ks. hypothesis We achieve ural breaks. ary (random e without b nt market h ks to stock ts trend path uch as Gen gests that fu ice moveme ’s stock ma et hypothes c Island Eco ock prices d the emerg –A note. Jo n. (2002). T ial Review, 04). Tests o Kong and S Finance & Ac ISSN 19 2021, Vol. 1 ajfa.macro 14).The critical and Popp (2010 o General E n to democr . Next, we c p’s (2010) u odel conside ated break d that stock p s for stock p ed this obje The main r m walk) proc bound over hypothesis h prices are l h following neral Electi future return ents. arket. Future sis for othe onomies, w interact wi ging capital Journal of B Testing the 37(3), 469- of the rando Singapore. ccounting 946-052X 13, No. 2 think.org/ l values 0). The Elections ratic rule consider unit root ered, the dates are prices is prices in ctive by result of cess and the long holds in likely to g shocks. ions can ns in the e studies er stock which are ith other l market Business random -480. om walk Applied Balsara examin Busines Chang, hypothe Charles markets Chaudh prices: https://d Dickey, Autoreg Associa Dickey, Time Se Govern 2015 BU Hamid, Akash. from As Husain, examin Lee, Ch market the Wor Lee , J. structur Lock, D Bulletin Lumsda Review Mala, R econom Mala, R Status S a, Nauzer J ation of th ss and Econ Kuo-Ping, esis for Taiw s, Amélie, & s: Evidence huri, Kausik Evidence f doi.org/10.1 , David A gressive Ti ation, 74(36 , David A., eries with a nment of Fij UDGET AD Kashif, M (2010). Te sia-Pacific M , Fazal. (1 ation. The hien-Chiang hypothesis rld Economy ., & M. C. ral breaks. R Dat Bue. (2 n 7(3), 1-8. aine, R. L., of Econom Rajni, & Ma my. Internati Rajni, & Mi Symbol? A J, Gary Ch e random w nomics, 43-6 & Kuo-Sh wan's stock & Olivier D from varian k, & Yangr from emerg 1016/S0378 A., & Way ime Series 66), 427-431 & Wayne A a Unit Root. i. 2014. EC DDRESS. S uhammad T sting the W Markets. In 1997). The e Pakistan D g, Jun-De L : Evidence my, 22(1), 49 Strazicich. Review of E 2007). The & D. H. Pa ics and Stat ahendra Re ional Resea ichael Whit Australian A hen, and Li walk model 63. hiuan Ting. market. App Darné. (200 nce ratio tes ru Wu. (20 ging market 8-4266(01)0 yne A. Fu s With a 1. doi: 10.23 A. Fuller. (1 Econometr CONOMIC Suva , Fiji Is Tahir Sulem Weak form o nternational random w Developmen Lee, & Chi from a pan 9-58. https:/ (2003). M conomics a Taiwan sto apell. (1997) tistics, 79(2 eddy. (2007 arch Journa te. (2009). T Accounting 86 in Zheng. l and techn . (2000). A pplied Finan 09). The ran sts. Econom 003). Rando ts. Journal 00252-7. uller. (1979 Unit Root 307/228634 1981). 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