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International Portfolio Diversification In Developing Equity Markets Of South Asia

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Author Info

  • HUSSAIN Haroon

    (Department of Commerce, University of Sargodha)

  • HUSSAIN Rana Yasir

    (University of Education, Lahore)

  • SHAH Syed Waqar Azeem
  • FRAZ Ahmed

    (Mohammad Ali Jinnah University, Islamabad)

Registered author(s):

    Abstract

    This study aims at exploring the relationship between South Asian Equity Markets. Four major South Asian Equity Markets (Karachi Stock Exchange, Bombay Stock Exchange, Colombo Stock Exchange and Dhaka Stock Exchange) were taken to explore this relationship. Data was taken from the year 1999 to 2009 on monthly basis. Data Analysis was conducted using co-integration Analysis for the long run relationship and VECM (Vector Error Correction Model) for the short run relationship. For the purpose of stationary of data, Unit root test was used and all series were found integrated at first difference. Co-integration Analysis indicated that there exists no long run relationship among the equity markets of South Asia. VECM shows the similar results and no relationship found among these markets in short run.

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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/719hussain&hussain&shah&fraz.pdf
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    Bibliographic Info

    Article provided by Lucian Blaga University of Sibiu, Faculty of Economic Sciences in its journal Studies in Business and Economics.

    Volume (Year): 7 (2012)
    Issue (Month): 1 (April)
    Pages: 80-100

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    Handle: RePEc:blg:journl:v:7:y:2012:i:1:p:80-100

    Contact details of provider:
    Postal: Lucian Blaga University of Sibiu, Faculty of Economic Sciences Dumbravii Avenue, No 17, postal code 550324, Sibiu, Romania
    Phone: 004 0269 210375
    Fax: 004 0269 210375
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    Web page: http://economice.ulbsibiu.ro/
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    Related research

    Keywords: international portofolio; equity markets; South Asia;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Abbas Valadkhani & Surachai Chancharat, 2008. "Dynamic linkages between Thai and international stock markets," Journal of Economic Studies, Emerald Group Publishing, vol. 35(5), pages 425-441, October.
    2. Jarl G. Kallberg & Paolo Pasquariello, 2005. "An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets," The Journal of Business, University of Chicago Press, vol. 78(1), pages 169-212, January.
    3. Paresh Narayan & Russell Smyth & Mohan Nandha, 2004. "Interdependence and dynamic linkages between the emerging stock markets of South Asia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 44(3), pages 419-439.
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