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Do the Stock Markets of South Asia Follow a Random Walk?

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Author Info
Arusha Cooray

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Abstract

This paper examines stock market behaviour in India, Sri Lanka, Pakistan, and Bangladesh employing unit root tests, autocorrelation tests and spectral analysis. Evidence suggests that all markets exhibit a random walk. The multivariate cointegration tests based upon the Johansen Juselius (1988, 1990) methodology indicate three long run stochastic trends. The results of the multivariate cointegration tests are corroborated by the Likelihood Ratio block causality tests which indicate a high degree of interdependence between the markets. The generalized impulse response analysis used to examine the effects of a India stock market price shock on the stock price indices of Sri Lanka, Pakistan and Bangladesh show that Pakistan and Sri Lanka are more responsive to price shocks in India than Bangladesh.

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Paper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 169.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:ausm04:169

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Related research
Keywords: stock markets; random walk;

Find related papers by JEL classification:
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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