International Portfolio Diversification In Developing Equity Markets Of South Asia
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.
Volume (Year): 7 (2012)
Issue (Month): 1 (April)
|Contact details of provider:|| Postal: |
Phone: 004 0269 210375
Fax: 004 0269 210375
Web page: http://economice.ulbsibiu.ro/
More information through EDIRC
References listed on IDEAS
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.:
- 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.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:blg:journl:v:7:y:2012:i:1:p:80-100. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mihaela Herciu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.