PDF 3952..pdf | Request a copy Full text restricted Available under University of Tasmania Standard License.

Abstract

This paper examines the efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh. The Augmented Dickey Fuller (ADF-1979, 1981), the Phillips-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS-1996) and Elliot-Rothenberg-Stock (ERS – 1996) tests are used to examine weak form stock market efficiency. Weak form efficiency is supported by the classical unit root tests. However, it is not strongly supported for Bangladesh under the DF-GLS and ERS tests. Cointegration and Granger causality tests are used to examine semi-strong form efficiency. Semi-strong form efficiency is not supported as these tests indicate a high degree of interdependence among the South Asian stock markets. The above results have implications for domestic as well as foreign investors in South Asian stock markets.

Item Type:	Article
Authors/Creators:	Cooray, AV and Wickremasinghe, G
Keywords:	South Asia, India, Sri Lanka, Pakistan, Bangladesh, unit root tests, stock markets, market efficiency, impulse response analysis
Journal or Publication Title:	Journal of Developing Areas
Publisher:	Western Illinois University
ISSN:	0022-037X
Related URLs:	http://muse.jhu.edu/journals/journal_of_developing...
Item Statistics:	View statistics for this item

Actions (login required)

Item Control Page