Are the Major South Asian Equity Markets Co-Integrated?
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.
|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|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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.:
- Seppo Pynnonen & Johan Knif, 1998. "Common long-term and short-term price memory in two Scandinavian stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 257-265.
- Patricia Fraser & Oluwatobi Oyefeso, 2005. "US, UK and European Stock Market Integration," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 32(1-2), pages 161-181.
- 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 332-336, May.
- Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
- Corhay, A. & Tourani Rad, A. & Urbain, J. -P., 1993. "Common stochastic trends in European stock markets," Economics Letters, Elsevier, vol. 42(4), pages 385-390.
- Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
- 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.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:34737. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.