Interdependence and dynamic linkages between the emerging stock markets of South Asia

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Interdependence and dynamic linkages between the emerging stock markets of South Asia

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Paresh Narayan
Russell Smyth
Mohan Nandha

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Abstract

The present article examines the dynamic linkages between the stock markets of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality approach by binding the relationship among the stock price indices within a multivariate cointegration framework. We also examine the impulse response functions. Our main finding is that in the long run, stock prices in Bangladesh, India and Sri Lanka Granger-cause stock prices in Pakistan. In the short run there is unidirectional Granger causality running from stock prices in Pakistan to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to Sri Lanka. Bangladesh is the most exogenous of the four markets, reflecting its small size and modest market capitalization. Copyright (c) 2004 Accounting and Finance Association of Australia and New Zealand.

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Article provided by Accounting and Finance Association of Australia and New Zealand in its journal Accounting and Finance.

Volume (Year): 44 (2004)
Issue (Month): 3 ()
Pages: 419-439
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Handle: RePEc:bla:acctfi:v:44:y:2004:i:3:p:419-439

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Marashdeh, Hazem, 2005. "Stock Market Integration in the MENA Region: An Application of the ARDL Bounds Testing Approach," Economics Working Papers wp05-27, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
Abdul Karim, Bakri & Abdul Majid, M. Shabri & Abdul Karim, Samsul Ariffin, 2009. "Financial Integration between Indonesia and Its Major Trading Partners," MPRA Paper 17277, University Library of Munich, Germany. [Downloadable!]
Seshaiah, S.V., 2006. "Indian Capital Market Integration with Select Developed and Developing Countries," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2). [Downloadable!] (restricted)

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