The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region
AbstractThis paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and Elliot-Rothenber-Stock (ERS – 1996) tests are used to examine stock market efficiency. Weak form efficiency is supported by the classical unit root tests, however, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. The cointegration and Granger causality tests indicate a high degree of interdependence between the South Asian stock markets.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23626.
Date of creation: 2005
Date of revision:
Publication status: Published in Journal of Developing Areas 41.1(2007): pp. 171-184
South Asia; India; Sri Lanka; Pakistan; Bangladesh; unit root tests; stock markets; market efficiency;
Find related papers by JEL classification:
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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