Subhani, Muhammad Imtiaz and Hasan, Dr. Syed Akif and Mehar, Dr. Ayub and Osman, Ms. Amber (2011): Are the Major South Asian Equity Markets Co-Integrated? Published in: International Journal of Humanities and Social Science , Vol. 1, No. 12 (2011): pp. 117-121.
Download (618Kb) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Are the Major South Asian Equity Markets Co-Integrated?|
|English Title:||Are the Major South Asian Equity Markets Co-Integrated?|
|Keywords:||Co-integration, Equity/ Stock Markets, Market Trend, Stock Prices|
|Subjects:||E - Macroeconomics and Monetary Economics > E0 - General > E02 - Institutions and the Macroeconomy
R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R5 - Regional Government Analysis > R53 - Public Facility Location Analysis; Public Investment and Capital Stock
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
E - Macroeconomics and Monetary Economics > E0 - General > E01 - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
M - Business Administration and Business Economics; Marketing; Accounting > M2 - Business Economics > M21 - Business Economics
|Depositing User:||Muhammad Imtiaz Subhani|
|Date Deposited:||15. Nov 2011 16:12|
|Last Modified:||11. Feb 2013 12:19|
Bonfiglioli, & Favero, C. (2005). Explaining co-movements between Stocks Markets: the case study of Germany and U.S. Journal of International Money and Finance, 24, 1299-1316.
Chan, K., B., Gup, & Pan, M. (1992). An Empirical Analysis of Stock Prices in Major Asian Markets and the United Stated. The Financial Review, 27, 289-307.
Corhay, A., & Urbain, J., P. (1993). Common stochastic trends in European stock markets.
Economic Letters, 42(4), 385-390. Corhay, A., Rad, A. T., & Urbain, J., P. (1995). Long Run Behavior of Pacific Basin Stock Prices. Applied Financial Economics, 5, 11-18.
Fraser, P., & Oyefeso, O. (2005). US, UK and European Stock Market Integration. Journal of Business Finance and Accounting, 32(1-2), 161-181.
Kasa, K. (1992). Common Stochastic trends in International Stock Markets. Journal of Monetary Economics, 29, 95-124.
Karolyi, G., & Stulz, R., M. (1996). An investigation of U.S Japan stock returns comovements. The Journal of Finance, 3, 951-986.
Kasibhatla, K., M., Stewart, D., Sen, S., & Malindretos, J. (2006). Are daily stock price indices of major European stock markets cointegrated?. The American Economist, 50(2), 47-57
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics. 47:1, 13-37.
Markowitz, H. (1952). Portfolio Selection. Journal of Finance, 7(1): 77-91.
Nath, G. & Verma, S. (2003) Study of stochastic trend and co- integration in the emerging markets: A case Study of India , Singapore, and Taiwan. Retrieved June 27, 2011 from http://www.nseindia.com.
Pan, M., Liu, Y., & Roth, H. (1999). Common stochastic trends and volatility in Asian Pacific equity markets. Global Finance Journal, 10:161-172.
Pynnonen, S., & Knif, J. (1998). Common Long-term and Short-term Price Memory in Two Scandinavian Stock Markets. Applied Financial Economics, 8, 257–65.
Rigobon, R. (2003). Identification through heteroskedasticity. The Review of Economics and Statistics, 85(4): 777-792.
Rocca, E., D. (1999). Short-term and long-term price linkages between the stock markets of Australia and its major trading partners. Applied Financial Economics. 9,501-511.
Sharpe, W. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19 (3): 425-442.
Syriopoulos, T. (2004). Modeling Long Run Dynamics in Transitional European Equity Markets, European Review of Economics and Finance, 3(4): 37-56.
Taylor, M.P., & Tonks, I. (1989). The internationalization of equity markets and elimination of UK Exchange control. The Review of Economics and Statistics, 71, 332 - 336.