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Are the Major South Asian Equity Markets Co-Integrated?

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Listed:
  • 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.

Suggested Citation

  • Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Mehar, Dr. Ayub & Osman, Ms. Amber, 2011. "Are the Major South Asian Equity Markets Co-Integrated?," MPRA Paper 34737, University Library of Munich, Germany, revised 2011.
  • Handle: RePEc:pra:mprapa:34737
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    File URL: https://mpra.ub.uni-muenchen.de/34737/1/MPRA_paper_34737.pdf
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    References listed on IDEAS

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    1. Kasa, Kenneth, 1992. "Common stochastic trends in international stock markets," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 95-124, February.
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    3. Bonfiglioli, Alessandra & Favero, Carlo A., 2005. "Explaining co-movements between stock markets: The case of US and Germany," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1299-1316, December.
    4. 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.
    5. 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.
    6. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
    7. 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.
    8. 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.
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    Citations

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    Cited by:

    1. 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.
    2. P., Srinivasan & M., Kalaivani, 2013. "Stock Market Linkages in Emerging Asia-Pacific Markets," MPRA Paper 45871, University Library of Munich, Germany.
    3. Muhammad Imtiaz Subhani & Syed Akif Hasan & Amber Osman & Junaid Minhas, 2013. "Are the inflations of world co-integrated?," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 7(1), pages 9-18, Spring.
    4. Muhammad Kashif, 2015. "Comparison of Equity Markets of SAARC Nations with the Equity Markets European Union Nations," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, vol. 9(1), pages 23-31, Spring.
    5. 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.

    More about this item

    Keywords

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

    JEL classification:

    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy
    • R53 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Regional Government Analysis - - - Public Facility Location Analysis; Public Investment and Capital Stock
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics

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