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The Integration of Financial Markets: Empirical Evidence from South Asian Countries

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  • Qayyum, Abdul
  • Mohsin, H

Abstract

The study analyzed financial market integration in the five countries of South Asia, Pakistan, India, Bangladesh, Sri Lanka and Nepal. All the variables are found to be integrated of the same order in the case of Pakistan, India and Nepal. But for Bangladesh and Sri Lanka they are of different order. The study used Engle Granger (1987) two step methods to check the long run relationship in the case of three countries. There is no evidence of long run relationship between domestic savings and investments to GDP ratio. Further it is found that Indian financial market is not integrated with the world, while financial markets of other South Asian countries are integrated with the world. However, degree of integration is different for each country.

Suggested Citation

  • Qayyum, Abdul & Mohsin, H, 2005. "The Integration of Financial Markets: Empirical Evidence from South Asian Countries," MPRA Paper 2364, University Library of Munich, Germany, revised 2005.
  • Handle: RePEc:pra:mprapa:2364
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    File URL: https://mpra.ub.uni-muenchen.de/2364/1/MPRA_paper_2364.pdf
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    References listed on IDEAS

    as
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    4. Baxter, Marianne & Jermann, Urban J, 1997. "The International Diversification Puzzle Is Worse Than You Think," American Economic Review, American Economic Association, vol. 87(1), pages 170-180, March.
    5. Martin Feldstein, 1991. "Domestic Saving and International Capital Movements in the Long Run and the Short Run," NBER Chapters, in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 331-353, National Bureau of Economic Research, Inc.
    6. International Monetary Fund, 1990. "Capital Mobility in Developing Countries; M386Some Empirical Tests," IMF Working Papers 90/117, International Monetary Fund.
    7. Martin Feldstein, 2000. "Aspects of Global Economic Intergration: Outlook for the Future," NBER Working Papers 7899, National Bureau of Economic Research, Inc.
    8. Yamori, Nobuyoshi, 1995. "The relationship between domestic savings and investment: The Feldstein-Horioka test using Japanese regional data," Economics Letters, Elsevier, vol. 48(3-4), pages 361-366, June.
    9. Westphal, Uwe, 1983. "'Domestic saving and international capital movements in the long run and the short run' by M. Feldstein," European Economic Review, Elsevier, vol. 21(1-2), pages 157-159.
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    Cited by:

    1. Dr. Ranjan Dasgupta, 2014. "The Integration of Indian and SAARC Stock Markets – An Empirical Study," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, vol. 5(1), pages 09-17, January.

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    More about this item

    Keywords

    Financial Market integration; South Asia; Pakistan; India; Bangladesh; Sri Lanka; Nepal;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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