The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region

Cooray, Arusha and Wickremasinghe, Guneratne (2005): The Efficiency of Emerging Stock Markets: Empirical Evidence from the South Asian Region. Published in: Journal of Developing Areas , Vol. 1, No. 41 (2007): pp. 171-184.

Abstract

This paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and Elliot-Rothenber-Stock (ERS – 1996) tests are used to examine 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. The cointegration and Granger causality tests indicate a high degree of interdependence between the South Asian stock markets.

• Item Type: MPRA Paper
• Language: English
• Keywords: South Asia, India, Sri Lanka, Pakistan, Bangladesh, unit root tests, stock markets, market efficiency
• Subjects: O - Economic Development, Innovation, Technological Change, and Growth > O5 - Economywide Country Studies > O53 - Asia including Middle East; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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