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International Portfolio Diversification In Developing Equity Markets Of South Asia

Author

Listed:
  • 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)

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.

Suggested Citation

  • HUSSAIN Haroon & HUSSAIN Rana Yasir & SHAH Syed Waqar Azeem & FRAZ Ahmed, 2012. "International Portfolio Diversification In Developing Equity Markets Of South Asia," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(1), pages 80-100, April.
    • Handle: RePEc:blg:journl:v:7:y:2012:i:1:p:80-100
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    File URL: http://eccsf.ulbsibiu.ro/RePEc/blg/journl/719hussain&hussain&shah&fraz.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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, September.
    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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