Testing Unit Roots of Financial Time Series: An Application to Major Stock Markets in Asia-Pacific Area

In this article, we examine the daily structure of stock price indices in the major stock markets in Asia-Pacific area using fractional integrated techniques. According to the long memory characteristics of the data, a particular version of Robinson's (1994) test is proposed for testing unit roots and non-stationarity in the financial data. The results show that the long memory behavior of the stock price indices in this region is different but quite similar.