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Are the Major South Asian Equity Markets Co-Integrated?

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  • Subhani, Muhammad Imtiaz
  • Hasan, Syed Akif
  • Mehar, Dr. Ayub
  • Osman, Ms. Amber

Abstract

Seemingly unrelated variables are quite often having relations with each other and this peculiar relation has always won the intentional and unintentional attention of many scientists and researchers. This paper is an attempt to investigate and interrogate the co-movements or the relations among the seemingly unrelated stock markets of South Asian countries, which includes Karachi Stock Exchange (Pakistan), Bombay Stock Exchange (India), Dhaka Stock Exchange (Bangladesh) and Nepal Stock Exchange (Nepal). The daily co-movement of the four well-known Indices comprising of KSE-100, BSE Sensex, DSE Composite Index, and NSE Index is examined by using the Johansen co-integration analysis for the period of May-1995 to May-2011. We found the linkage of stock prices of Karachi Stock Exchange with the stock prices of Dhaka stock exchange, while KSE is not co-integrated with the rest of outlined equity markets in terms of stock price indices.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 34737.

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Date of creation: 2011
Date of revision: 2011
Publication status: Published in International Journal of Humanities and Social Science 12.1(2011): pp. 117-121
Handle: RePEc:pra:mprapa:34737

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Keywords: Co-integration; Equity/ Stock Markets; Market Trend; Stock Prices;

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  1. Pan, Ming-Shiun & Liu, Y. Angela & Roth, Herbert J., 1999. "Common stochastic trends and volatility in Asian-Pacific equity markets," Global Finance Journal, Elsevier, vol. 10(2), pages 161-172.
  2. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
  3. Patricia Fraser & Oluwatobi Oyefeso, 2005. "US, UK and European Stock Market Integration," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 32(1-2), pages 161-181.
  4. Taylor, Mark P & Tonks, Ian, 1989. "The Internationalisation of Stock Markets and the Abolition of U.K. Exchange Control," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 332-36, May.
  5. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 29(1), pages 95-124, February.
  6. Seppo Pynnonen & Johan Knif, 1998. "Common long-term and short-term price memory in two Scandinavian stock markets," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 257-265.
  7. Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, Elsevier, vol. 42(4), pages 385-390.
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Cited by:
  1. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "Co-Integration in Write Offs ratios of the world," MPRA Paper 45143, University Library of Munich, Germany.
  2. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
  3. Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "Are the Prices of Light Diesel Oil, Gasoline, CNG and Kerosene Oil Co-Integrated?," MPRA Paper 45142, University Library of Munich, Germany.

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